It does not hold. There certainly exist pairs of mutually quasi-inverse equivalences between skeletal categories which are not strict inverses.
A good test case is that your categories are groups, which are always skeletal. An equivalence between groups $f:G\to H$ seen as categories is indeed just an isomorphism, but a map $g:H\to G$ is a quasi-inverse if and only if $gf$ and $fg$ are naturally isomorphic, that is, conjugate, to the appropriate identities. So if $G=H$ and $f=\mathrm{id}_G$, then $g$ can be any endomorphism of $G$ which is conjugate to the identity. More concretely, $g$ can be any inner automorphism.
So you can think of the indeterminacy in choice of your $G$ given $F$ as analogous to this. In short, there's no reason you should have $GF$ and $FG$ identities. You have to choose $G$ carefully, given $F$, to find the strict inverse.