In my opinion, a promotion is a promotion so you probably shouldn't detail out that you "skipped" a step. But if it is really important, or atypical, I would detail out that you were promoted to associte direction when typically a senior analyst spends a few years in an associate position before making that jump. But to me, it almost feels like title inflation... Make sure to figure out a way to show that it is not.
If you address in your application, there may not really been any appropriate way to show it. But the title itself, and I assume direct reports, will show your level of management.
Also, if you can find a place in the essays, I would quickly discuss how you skipped that level, and how you managed it. What made you qualified to do that, and why they felt you were ready for a higher position. I just don't know if its the best topic to focus on, maybe just quickly mention.