Why does Skype want to use a "Xcode Server Builder Identity" key?
An identity is a certificate with a private key. It's possibly Skype checks the keychain for identities so it can authenticate itself with a server when setting up a secure connection (server authentication is mandatory with secure connections; client authentication is optional).

Where is it stored?

As not all items stored in a keychain are shown in Keychain Access, the security utility can (must?) be used to show them instead. The message mentions an identity; the find-identity security subcommand can be used. The options to find-security are limited, and don't include options to filter based on name, label, description, creator or many of the other filters other subcommands take. Fortunately, there are likely far fewer identities on the keychain than there are of other types.

$ security find-identity
Policy: X.509 Basic
  Matching identities
  1) 123456789ABCDEF0123456789ABCDEF012345678 "iOS Dev" (CSSMERR_TP_NOT_TRUSTED)
  2) 123456789ABCDEF0123456789ABCDEF012345678 "iPhone Configuration Utility (DEADBEEF-1234-5678-9ABC-EF0123456789)" (CSSMERR_TP_CERT_EXPIRED)
  3) 123456789ABCDEF0123456789ABCDEF012345678 "com.apple.idms.appleid.prd.defaced2feelbad2feedfacedeadbeefcafef00dd00dc0de" (CSSMERR_TP_CERT_EXPIRED)
  4) 123456789ABCDEF0123456789ABCDEF012345678 "com.apple.idms.appleid.prd.defaced2feelbad2feedfacedeadbeefcafef00dd00dc0de" (CSSMERR_TP_CERT_EXPIRED)
  5) 123456789ABCDEF0123456789ABCDEF012345678 "com.apple.idms.appleid.prd.defaced2feelbad2feedfacedeadbeefcafef00dd00dc0de" (CSSMERR_TP_CERT_EXPIRED)
  6) 123456789ABCDEF0123456789ABCDEF012345678 "member: DEADBEEF-1234-5678-9ABC-EF0123456789 DEADBEEF-1234-5678-9ABC-EF0123456789" (CSSMERR_TP_NOT_TRUSTED)
  7) 123456789ABCDEF0123456789ABCDEF012345678 "Xcode Server Builder (3/26/21, 12:32:33 PM)" (CSSMERR_TP_NOT_TRUSTED)
     7 identities found
     
  Valid identities only
  1) 123456789ABCDEF0123456789ABCDEF012345678 "iOS Dev" (CSSMERR_TP_NOT_TRUSTED)
     1 valid identities found


In the example, note Item 7 in the output is the Xcode Server Builder identity.