Why are my "Skipped" files still downloaded?

[NotOnConsole]

Hi there,

I try to make a copy of a website however all the external links ARE downloaded as index-X.htm
I DON'T want these external links to be downloaded. Some links include pages to social media or payment portals. I want these links to stay the same.
Is there is a way to only download the content the from http://mydomain.com and not download (and keep links the same) of external sites like http://facebook.com ?

My Project Settings are set to Site Only.
Hopefully someone can help me 

Edit: I will be hosting the old site as it is right now soo all the links could be the same. Eventualy the copy will be accesable via the original domain.