Thermal breaks are only required in aluminium joinery to reduce the heat loss through the aluminium frame as aluminium is a good conductor (unlike timber). VELUX skylights have a "composite" construction with external aluminium cappings and an internal timber frame (VSS,VSE, VS, GGU, FS) or a timber curb (VCS, VCM, FCM). This "composite" construction ensures that all VELUX skylights have a much higher thermal resistance than an aluminium framed window or skylight.
VELUX skylights therefore do not require a thermal break to achieve very high thermal resistance values (R-values).