Using particle-based simulations, we examine the collective dynamics of skyrmions interacting with periodic pinning arrays, focusing on the impact of the Magnus force on the sliding phases. As a function of increasing pinning strength, we find a series of distinct dynamical phases, including an interstitial flow phase, a moving disordered state, a moving crystal, and a segregated cluster state. The transitions between these states produce signatures in the skyrmion lattice structure, the skyrmion Hall angle, the velocity fluctuation distributions, and the velocity-force curves. The moving clustered state is similar to the segregated state recently observed in continuum-based simulations with strong quenched disorder. The segregation arises from the drive dependence of the skyrmion Hall angle, and appears in the strong pinning limit when the skyrmions have nonuniform velocities, causing different portions of the sample to have different effective skyrmion Hall angles. We map the evolution of the dynamic phases as a function of the system density, the ratio of the Magnus force to the dissipative term, and the ratio of the number of skyrmions to the number of pinning sites.
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