Skilld like skiing and skating are definately possible to improve but idk about the whole musical instrument thing. Everytime I play guitar in my dream I am amazing but when I wake up I'm not any better. I would guess this is because a skill like skating involves motion and the whole body so you are training and it is just like it would be in real life. Playing the guitar is alot of finger independence and strength and not about trying things that are dangerous that you might be hesitant to do in real life. Also things such as skating you will know what the outcome will be but if you are playing guitar it seems like it would most likely not sound accurate to what you are playing (obviously alot of the basic stuff that is easily ear trained will have a better chance to, but large intervals that you do not know well irl might be wrong).

With all that said, if it was a very stable, vivid ld then possibly it could help you, plus its alot of fun to shred in dreams so why not do it. One way I think it could help is with a tough lick or phrase or solo, where you have practiced it alot and know exactly how it sounds. It could possibly make the distinctions in your mind exactly how to do it by making it more subconscious, which is the root of all musical abilities, you want to be able to do it without thinking about it.