I can’t seem to get any sky to work at all on the client, I have tried several ones from the toolbox, and they work in the studio before playing the game, but then just disappears in-game on the client. Even I try to load It in from the client. But it still exists serverside. And changing lightning mode doesn’t work either, even if I go into the lightning and recopy it while in-game, it doesn’t work.
Sometimes in Studio, I experience lighting issues as well. You may have to try publishing the game privately and testing it in an actual game to make sure the sky works 
I did try this, don’t work. And I’ve seen some other people having this issue but no one has a fix for it.