My answer mostly covers the physiology of your idea.
If this were possible you would have made an alternative route to supply oxygen and remove carbon dioxide from the working muscle cells and surrounding tissues. However, for gas exchange to be possible normally a very fine network of vessels with extremely thin walls is required. Having this on the surface of a person's skin in the form of pores would not only have questionable efficacy but would also be limited by things such as clothes, skin oil. It would also mean that the protective keratin layer of the skin would have to be removed to allow for this delicate network to function.
So your first problem is placing a delicate structure on the surface of the body, exposed to harm and stress.
But even with all of this said and done, the physiology was never examined. Yes, it is true that aerobic metabolism yields more energy for the same amount of material used compared to anaerobic metabolism, yet for these processes to occur the cell would still need to have available infrastructure and material to use up. This would mean that for a super-soldier to be able to meet all the power demands during strenuous exercise, he should be able to supply his cells with enough nutrients and have many more available receptors to catalyze the reactions.This would mean that the cells themselves have greater stores of materials, the metabolic system can process extreme loads to maintain with a body-wide supply of those nutrients and the circulatory system can manage the delivery.
This means that merely providing more oxygen does not solve your problem. You are forced to alter the physiology. At this point, you have to elegantly balance many scales with enough room for error in all levels, which is not easy.
Oxygen can always be compensated by the extreme circulation, lungs and the extra pores, but the other parts of the equation leave gaps. In the end, it is quite likely that anaerobic metabolism would be initiated. Other things that you have not also taken into account is acid-balance which bring the kidneys into play, blood cell metabolism which involves the bone marrow/spleen etc...
If your bio-engineering was this advanced to able to balance all of those systems, then by no means would it bother with micro-pores. It would instead have introduced special carrier molecules in the circulation that would provide the energy for the cells in already processed forms such as ATP and in the meantime, make sure the infrastructure is available to process this energy.
Other things that would be worth mentioning is of course infections but this is whole different story.