I can understand some people believing this doesn't exist, since the code that makes it happen is such a pain in a butt to pull off. You have to plug in a second controller into port D, and at the menu screen, you have to hold down A, Y, and down on the D-Pad while you enter the game on the first controller (doesn't work on Agent Academy mode). Once the option to skip the cutscene appears, you can let go, and at that point... it probably won't work. You just have to keep trying until you get it. Very random.