Supposedly, in people who are prone to it, increased blood protein levels can increase water retention and constrict "sebum canals", which result in pimples. I'm not too up-to-date on the subject.
Of course, to increase blood protein levels, you'd have to have excess protein in your system, so you may just have to monitor whether or not you're getting too much. You don't need a protein shake if you already have enough protein in your diet.