We study the collective dynamics of a two-dimensional honeycomb lattice of magnetic skyrmions. By performing large-scale micromagnetic simulations, we find multiple chiral and non-chiral edge modes of skyrmion oscillations in the lattice. The non-chiral edge states are due to the Tamm-Shockley mechanism, while the chiral ones are topologically protected against structure defects and hold different handednesses depending on the mode frequency. To interpret the emerging multiband nature of the chiral edge states, we generalize the massless Thieles equation by including a second-order inertial term of skyrmion mass as well as a third-order non-Newtonian gyroscopic term, which allows us to model the band structure of skrymion oscillations. Theoretical results compare well with numerical simulations. Our findings uncover the importance of high order effects in strongly coupled skyrmions and are helpful for designing novel topological devices.