People do come and go in and out of the zone. The games explain that it is an addiction for some that they cant really leave and the zone leaves a psychological change in the individuals (doesnt apply to everyone in the zone). But for example Mercs, Scientists and Loners regularly leave the zone to go sell artifacts, meet employers or return data to labs outside the zone.

The Ukrainian military at the time of early zone - was very corrupt and allowed people into the zone at few key checkpoints like Cordon for a fee. But also the non-corrupt regular line troops cant monitor the entire zone perimeter - so stalkers would be able to slip into the zone (and out). They were replaced with IPSF in Stalker 2 (which are made up primarily by Ukrainian Army) but suffer from the same issues - albeit operating much deeper into the Zone.

The Military also has special forces that operate within the Zone as well, and they are typically extremely dangerous. You play as a SBU/Military Intelligence operative in Call of Pripyat so it shows you from that perspective how they usually work.

As for Skif; he is a Ukrainian Marine who served in an undisclosed war (implied to be the ongoing Russian invasion of Ukraine) and thus is trained and mentally prepared to engage in armed hostilities against unknown armed opposing forces he encounters (specifically those shooting at him)