This is a self-answered question. I post this here, since it wasn't obvious for me at first, and I think it might be helpful for someone at some future time (maybe even future me...).
Claim: Let $n \ge 3$, and let $X$ be the set of all squares of real $n \times n$ skew-symmetric matrices. Then $\text{span}(X)$ is the space of all symmetric matrices.
How to prove this claim?
Setting $B = E_{ij} - E_{ji}$ for $i \neq j$, we get $B^2 = -(E_{ii} + E_{jj})$.
Thus $E_{ii} + E_{jj} \in \text{span}(X)$ for all $i \neq j$. Now, fix $i \neq j$. Since $n \ge 3$, there is a $1 \le k \le n$, $k\neq i,j$. Thus $E_{ii} + E_{jj},E_{ii} + E_{kk},E_{kk} + E_{jj} \in \text{span}(X)$. Writing $E_{ii}=a,E_{kk}=b,E_{jj}=c$, we have
$$ a+b,a+c,b+c \in \text{span}(X).$$
By substracting, we obtain $b-c,a-c \in \text{span}(X)$, hence $2a=(a-c)+(a+c) \in \text{span}(X)$. Thus $E_{ii} \in \text{span}(X)$ for every $i$, so $\text{span}(X)$ contains all diagonal matrices.
Now, let $Q \in \text{O(n)}$. Since $Q^T X Q=X$, we get $Q^T \text{span}(X) Q=\text{span}(X)$.
So, $\text{span}(X)$ contains all orthogonal conjugations of diagonal matrices, i.e. all symmetric matrices, as required. (The last sentence is the spectral theorem).