Never thought about it- when I used to do them I thought they were very low impact, because you're not really lifting your feet too much once you get good at it, and after a while your calves get pretty strong (lessening impact even more) and ankles get strong (tendons get tougher, I think- smart guys can enlighten me if this is incorrect) which I think would actually lessen your chances at injury. I also only jumped rope on a wood floor (or when the gym filled up, in the ring) in the gym, which is obviously much lower impact than jumping rope on like concrete.
And, I think this is true for any sort of repetitive exercise, you can get efficient enough where it's not really even giving you a workout anymore, unless you mix it up by double skipping or varying your pace or however. I'd jump rope to warm up for boxing, and if I were feeling lazy I'd go ahead and jump rope for two rounds (including thirty second breaks) and barely be breaking a sweat. I'm not saying I could do that now, even at an easy pace I think I'd be dead after one round.