Borderlands – If I own the DLC on PS3, can I activate it on PC

Yeah they come a tad bit later, don't worry about it. Once you come to Sanctuary and start doing quests from that point you'll be getting lots of SMG's as drops and they will be available in the shops.

A fairly straightforward explanation for this is that the skins are saved on your console profile. So progress you make as the User[1] persists until you close the game and then is lost because there is nowhere to save it. I don't know that to be a fact, and with some web research I could not track it down, but it would seem to be the only way it would feasibly work. I have observed this behavior anecdotally on other games, but I don't have Borderlands 2 on PS3 to be able to confirm.

So, to address this issue, create a second profile on your PS3 and log into it when you are playing couch co-op as the second player. Your second account should not need to be registered to PSN, although it is free so there isn't really a downside other than the hassle. I'd suggest trying it with an offline profile first, and then registering with PSN as a last ditch.