He was proud, of everything that he was. It was not only typical skeksis pride, which was so tied to their kind, as the Dousan were tied to death. Skeksis were boasting over the power they had, feeling everything belongs to them, taking and taking and taking, never giving. And if something happened and they gave, it was never sincere.
His pride was never connected with who he was, when he was born, in the flash of light and screaming and terror. It was earned. It was based on hundreds of trines of proving his skill to himself, hard work over his traits, relentless pursue over being the one that was feared among the land, the shadow that eats the flesh, the ghastly apparition everyone knew about yet no one could say they know its true identity.
He was proud, because he had reason to. Not sniffing books, not partying till the legs were bending and world spinning, not using slaves or servants to do things for him, which he could easily do by his own.
Yes, his pride was coming from a source that was carved in his very being. Because he could engage into most deadly battle, most bloody fight, most dangerous hunt.
And always end up victorious.
Nothing as good as the thought, that he was the only skeksis that truly conquered death.