Yes, it is possible to specify the ASPxGridView's properties (for all ASPxGridView instances in the corresponding theme) within the skin file:
<%@ Register TagPrefix="dx" Namespace="DevExpress.Data" Assembly="DevExpress.Data.vX.Y, Version=X.Y.Z.0, Culture=neutral, PublicKeyToken=b88d1754d700e49a" %>
<%@ Register TagPrefix="dx" Namespace="DevExpress.Web.ASPxGridView" Assembly="DevExpress.Web.ASPxGridView.vX.Y, Version=X.Y.Z.0, Culture=neutral, PublicKeyToken=b88d1754d700e49a" %>
<dx:ASPxGridView runat="server">
<Settings ShowHeaderFilterButton="true" ShowHeaderFilterBlankItems="false" ShowFilterBar="Visible" ShowFilterRow="True" />
</dx:ASPxGridView>
However, the skin file is intended more for specifying a visual appearance (styles, images, etc).