Anchoring is fine on a sloop, it takes almost no time to raise it. Just make sure your ship is positioned to flee before you disembark.
Yes skeletons can shoot at you. They also spawn in ships that will chase you forever until you sink them. Megaladons can be deaggroed by getting near an island. Krakens can also be sailed away from its just really slow.
The biggest threat in the game is other players! You can try forming alliances, but alway be wary.