I've mentioned this before: almost all new skates have a polyurethane or lacquer finish that has to either be sanded / worn off before the leather can absorb the sno-seal. If you put the sno seal on top, it'll only absorb in areas where the finish wasn't applied well or has started to wear off.
If you really can't wait to waterproof the skates, use steel-wool or a fine-grade sandpaper to remove the finish so you can sno-seal.
If you're using a hair dryer, don't use the "low" setting; use the "high" setting. To prevent "burning," keep the air flow moving and don't concentrate on any one spot.
Sno-Seal does make the leather darker as it is absorbed, moreso on the Jacksons than my Klingbeils. If you feel a sticky residue, just wipe it off if the leather can't absorb any more of the wax.
Since you say that the sno seal is coming to the surface, it sounds like you're just waxing the poly finish; it's not soaking into the leather deeply enough.
I've never had to sno-seal skates often. I also don't take the skates out of my bag to air out, although I do leave the zipper open to allow air to circulate. No problems with odor or rust.
If there's that much humidity in the air, you'd better get a stick of WD-40 or beeswax and start coating the blades between uses or you'll be asking about rust next.