I've created a dotnetnuke. I have two files named index.ascx and index.html that as you know index.ascx is made after the parsing of DNN.
Question: Do I still need the index.html after the skin is parsed by dotnetnuke?
You do not need the .html file on the webserver, it is not used for anything after the skin has been converted to .ascx.
You probably want to keep it on your local machine however. It depends on how you plan to implement any changes to your skin. If you want to change the .ascx directly then you don't need the .html any more. If you want to make changes in the .html and then regenerate the .ascx, yes of course you still need it.
Personally I always create skins in .ascx straight away and skip the .html step - then you don't have to worry about the converter getting it wrong.