Does the shader actually do skinning using the Bones array?
Are the vertices, or mesh pieces, actually bound to different bones?
You can easily debug what's going on by running in PIX for Windows. It lets you capture a whole frame of calls, and then go back and analyze that call stream. You can open up a render, right-click on a pixel, and choose "debug this pixel" to be able to debug both pixel and vertex shaders that contributed to that pixel.