This seems to happen randomly. I use a skin from one of the mythology packs. Sometimes when I join the game, the skin changes back to default Alex or Steve. However, in the pause menu and character menu, it still shows me in the correct skin. To fix it, I have to select another purchased skin, go back in game, and then pick the correct skin again. It's not game breaking, but it's been happening since custom characters were added and it's pretty annoying.