There's actually no legitimate proof of this, just a bunch of theories. I don't think thick skin prevents wrinkles, I think thick skin makes them deeper. One thing I've noticed since starting finasteride is that my deeper lines, such as my nasolabial folds are way less pronounced (not bad to begin with tho) and my pores are smaller. On top of that less redness and pimples which all results in a healthier looking skin.
There are actually studies that look into the correlation of 5ar and skin aging. Inhibiting DHT might be good when it comes to skin aging.