Whenever the skybox changes in-game, only one side of the cube-map changes. The rest take a minute or two to change.
Yup, this was reported a few weeks ago here: Documentation - Roblox Creator Hub
Hoped it would be fixed by now though
I think the delay is there because skybox needs to be converted into a cubemap. They might delete the unused cubemaps to save space(?). I totally think it should be faster however, no matter what.