Here's what happens: bmatrix
typesets the left delimiter, then the body of the matrix, with a backspace in between; now, the body is an array, so it inherits the current background color which each cell is printed with, including the padding normally done by colortbl
.
The backspacing is the cause of the disappearance of the left delimiter, because it is covered by the new layer. Ah, the joys of color in TeX! ;-)
The issue becomes apparent if pmatrix
is used instead: we can clearly see that only part of the parenthesis is overprinted.

How to remedy? Define a colorbmatrix
environment that reprints the missing delimiter.
\documentclass[border=2pt]{standalone}
\usepackage{amsmath}
\usepackage[natural,table]{xcolor}
\newsavebox{\bmatrixbox}
\newenvironment{colorbmatrix}
{\begin{lrbox}{\bmatrixbox}
\mathsurround=0pt
$\displaystyle
\begin{bmatrix}}
{\end{bmatrix}$%
\end{lrbox}%
\usebox{\bmatrixbox}%
\kern-\wd\bmatrixbox
\makebox[0pt][l]{$\left[\vphantom{\usebox{\bmatrixbox}}\right.$}%
\kern\wd\bmatrixbox
}
\begin{document}
\rowcolors{1}{}{black!5}
\begin{tabular}[t]{ll}
\rowcolor{gray!50}{\bfseries SKP} & \\ \hline
$A$ & $\begin{colorbmatrix}-0.25 & 1 \\ 0 & 0.5 \end{colorbmatrix}$\\
$b=g$ & $\begin{colorbmatrix}0 \\ 1\end{colorbmatrix}$ \\ \hline
$A$ & $\begin{colorbmatrix}-0.25 & 1 \\ 0 & 0.5 \end{colorbmatrix}$\\
\end{tabular}
\end{document}

In the row with the white background the (visible) left delimiter will be also overprinted, but I'm confident in TeX's accuracy.
The best would be avoiding colored background in tables altogether. But it's just my personal opinion.
\rowcolor{gray!50}{\bfseries SKP} &
may suggest that\bfseries SKP
is the second argument of\rowcolor
. To avoid creating such an impression, I think it's better to write\rowcolor{gray!50} \bfseries SKP &
. The scope of\bfseries
ends at&
; there's thus no need to encase the cell's contents in curly braces.colortbl
does many global assignments, that affect nested arrays inside a table.bmatrix
for avoiding the space between the delimiter and the body of the matrix.