One of Skynet's major objectives was to create an infiltrator unit that wasn't so easy to detect (not rubber-skinned), so it would need to cover a terminator in real, living skin. So it would need human DNA, blood, etc. The best way to get these things is to capture humans. Also skynet work/death camps have been repeatedly mentioned in the films, so presumably Skynet needs the labour or it just understood that it is losing free workers by simply killing them.