Hi!
To make a skybox work properly in the game, you'd need to texture your skybox (in the editor) with the shader for that sky texture.
If you select the "skies" texture subset, you will notice there are loads of textures that make up a sky but you'll also notice there are quite a few shaders, as in those red and black checkered textures or they can also be displayed as a light blue texture with "SKY" written on it. Anyhow, you're supposed to texture your skybox with one of these shaders, rather than the real textures themselves...
So, suppose you want the Kejim Outpost skybox, then make a skybox around your map and texture it all with the "kejim" or "kejim_light" shader, and in-game, it appears as a sky!
The shaders with "_light" after the real name mean that they will light up your environment as if it had a real sun. Shaders with no "_light" after their real name will require you to either use ambient lighting or light entities to light up your environment, including outdoors...
Hope this helps!
Kayron James Mercieca - JK2 Mapping