When a recipe calls for scalded milk, can you use skim milk or do you need to use whole milk?

The kind of milk depends on the recipe more than on whether or not you are scalding it.  In most cases, if not all, you should be able to substitute skim milk for whole, although it may give a slightly different mouthfeel to the finished dish.

Mouthfeel is a term used to refer generally to the way a food feels when you taste it.  It is more related to texture than flavor.  The fat in whole milk or cream adds to a feeling of smoothness or richness on the tongue and in the mouth.  Using skim milk may result in some loss of that moutfeel, particularly in custard type recipes.

For scalded milk used in breads and biscuits, you likely won't notice any difference.

For more on scalding milk, see this post.