The isospin character, the collective or single-particle nature, and the sensitivity to the slope of the nuclear symmetry energy of the low-energy isovector dipole response (known as pygmy dipole resonance) are nowadays under debate. In the present work we study, within the fully self-consistent non-relativistic mean field (MF) approach based on Skyrme Hartree-Fock plus Random Phase Approximation (RPA), the measured even-even nuclei 68 Ni, 132 Sn and 208 Pb. To analyze the model dependence in the predictions of the pygmy dipole strength, we employ three different Skyrme parameter sets. We find that both the isoscalar and the isovector dipole responses of all three nuclei show a low-energy peak that increases in magnitude, and is shifted to larger excitation energies, with increasing values of the slope of the symmetry energy at saturation. We highlight the fact that the collectivity associated with the RPA state(s) contributing to this peak is different in the isoscalar and isovector case, or in other words it depends on the external probe. While the response of these RPA states to an isovector operator does not show a clear collective nature, the response to an isoscalar operator is recognizably collective, for all analyzed nuclei and all studied interactions.