Emptying trash, with file-in-use: Is there any difference between 'skip' and 'continue'?
I couldn't find any documented proof but still, here is my answer.

When you first hit above shown error, it means you can


Skip i.e. don't try to trash mentioned file and continue trashing the rest
Stop i.e. stop trashing for now
Continue i.e. you have closed mentioned file (it's not in use anymore) and OSX can continue trashing it


If you just click continue or fail to close the open file, OSX skips them and hence the confusion.

Most of the in-use files I have seen are plists which needs to be unloaded before deleting

Extra info after some experiment:

Above said is mostly true in situations when trash contains plists or in general you trashed some app

For example:

If you create a text file &rarr; Open it &rarr; Trash it while the file is still open &rarr; Try empty Trash &rarr; No problem i.e. Trash empty without any error and file still open

But If  you start some app (like MAMP in my experiment) &rarr; Launch it &amp; start services &rarr; Trash the app &rarr; Try empty trash &rarr; You will get the above said error &rarr; Open activity monitor &rarr; Kill all related services &amp; hit continue &rarr; Trash empty