It depends on the skill, and I think the example above of PA and RB are good ones for most people. If you look at the transfer list for JS >= 20, you will find dozens of players. If you look for PA >= 20 or RB >= 20, there currently aren't any available.
I don't think skills have diminishing returns on the court necessarily, but it's the training time and how much it takes up in salary/potential that are important factors. If you're building a PG then PS gets really expensive after a certain level. If you're building a PG then you might want lots of IS as it's cheap for salary purposes, but at higher levels the training becomes very slow for short players, using up time you might want to train other skills.
If you have specific trainees in mind for your question, then you could post their player id and what type of player you're trying to build, and people could suggest good skill levels to train your player to.