Yes, certain abilities cannot be copied. This is due to reasons such as becoming overpowered (as you stated with Wonder Guard), being a forme change ability for formes other Pokémon don't have, or otherwise causing issues.
Note that all these can be copied using Ditto.
-Power of Alchemy
Some of these abilities cannot be copied, but still can be replaced with moves like Worry Seed or abilities like Mummy. They are marked with italics.
edit: didn't notice the question edit, some of these don't apply to Skill Swap but apply to other ability copying moves, I can edit those out if wanted