In the Police Station mission at the end of the burning building with the room full of smoke, the first time I played through I put on my night vision and walked up to the door crouched to exit before anything was said over the radio. You don't have to shoot out the skylight at all. In future playthroughs I've done the same thing because A it feels more Sam Fisher like, and B it's a great example of how incredible variable this seemingly linear game is. Basically, if you get seen your not playing through the right way, and there is no one right way to be stealthy.
The path of the Ninja is a difficult and taxing one.