Updating core from 8.5.4 to 8.6.3, can I skip the releases in between?
You can skip releases and update directly to the latest release, unless you want to narrow down update issues by taking smaller steps.

You've mentioned the release note for 8.6.2: 


  Sites on 8.5.x should update immediately to Drupal 8.5.8 instead, and
  plan to update to the latest 8.6.x release before May 2019.


This had a different background. This advice was for an urgent security update of versions &lt; 8.5.8, because this wouldn't have been the right time to evaluate the update to 8.6.x if you hadn't done it yet, while the minor update from 8.5.7 to 8.5.8 was easy to apply, because it didn't require a database update.