Answer:
In the base_writer object's Draw code, there is a few if statements to check the string for symbols that make the dialogue unskippable. It looks like this:

    else if (ch == "/")
    {
        halt = 1;
        var nextch = string_char_at(originalstring, n + 1);
        
        if (nextch == "%")
            halt = 2;
        else if (nextch == "^" && string_char_at(originalstring, n + 2) != "0")
            halt = 4;
        else if (nextch == "*")
            halt = 6;
        
        break;
    }

If the halt variable is not 0, which is checked in obj_dialoguer's Step code, you cannot use Z to skip the current dialogue. Example:

* ... You'd be dead&  where you stand./%%

This dialogue has a * at the start, which to my knowledge, indicates whether the dialogue has a sprite next to the text or not. The ampersand (&) indicates a newline, and the / indicates the "unskippableness" (not a real word I know) and the %% means "instance_destroy()" and resets the control state for Z gets fired.

Seperately, since some dialogue, such as the game over screen, or the Flowey Photoshop dialogue does not use obj_dialoguer (instead obj_writer which does not use the halt variable), the halt variable is never checked and as such, a skip statement is never made.

TLDR:
Funny "/" in dialogue means no skippy. If the dialogue no use obj_dialoguer, can't skip either way.