My framerate is low even in idle.

Try disabling the vertical sync of your graphics adapter. With nVidia it on per default.

My skins won't change

In the download release only a few skins are included and under Linux the Windows themes don't work anyway.

The CgFX Shaders don't load.

If you own a ATI card, wait for them to write suitable opengl drivers otherwise update your driver.

How can I set the active camera?

Use the "Loaded" handler and put
getRoot().setActiveCamera(<camera_name>);
where camera_name is e.g. sender.Camera01

How can I load a new scene resource?

getRoot().load(<scene_file>);

How can I get a scene resource as a variable?

local object scene = getRoot().preLoad(<scene_file>);

How can I play a sound resource?

Get a sound object and call <sound>.play();

local object sound = getRoot().getSound(<sound_file>);
sound.play();
sound.pause();
sound.stop();

How do I output some variable?

Use outln(<variable>);
Like in java you can add strings to variables causing them to be converted to a string representation. E.g.
outln("Player1 Points: " + points_player1);

What is the difference between the script handler and the main entity script?

There is no difference in function only in using them. The main entity script lets yout edit all handlers in one place. The script handlers are each in there own file.

Is there a c++ version of SigmaAT

No there isn't.

Is't SigmaAT slow because it's completely written in java?

No, the renderer per default uses the opengl4java binding for rendering so it's as fast as yout hardware is.

Is SigmaAT extendable?

Yes it is. There is a plugin API for modifying the rendering pipeline and the scripting language.

There is an export plugin for 3dsMax 5.x.

What is this two types of scene files about?

The *.sig files are generated when exporting from 3dsMax. SigmaAT internally works with *.src files which are compressed and contain sattelite infomation like scripts and events.