The five characters were said to be students at the High Hope Dance Academy under the widowed Queen Skyla. Queen Skyla and her students defended her kingdom from Skyla's jealous brother-in-law Sky Clone, who sought revenge for his brother Skyler (Skyla's husband) being selected as king over him. Sky Clone had successfully killed Skyler but was unable to gain control of the Sky Swirl Stone that gave the Sky Dancers their powers. The series ended after one season once E/I regulations took effect.
I've just submitted the intro, or something, from the boys version of the same toy concept Dragon Flyz!. I remember these cartoons ran consecutively on saturday mornings back when i was a kid, right after the Highlander cartoon.
Yes, there was a Highlander cartoon that didn't feature decapitations, but did feature a jester-gimp. Just look up Gaumont, they were basically the European DiC.