Here's a fun density video from Mocomi.com, showing how honey, water, and oil form layers in a bottle. Even when they shake the bottle or turn it sideways, the layers reform because the honey, oil, and water don't mix.
What would happen if you tried this with a Skittles density rainbow? It wouldn't behave the same way. The Skittles density rainbow works because each layer has a different concentration of sugar. Shake it up, and the sugar water mixes together and can't be separated. All that you're left with is a muddy brown.