You have to manually change the skybox. Heres how:
1. Go to the texture browser and filter skybox/
2. Find a skybox you want and read its name (Eg. sky01_day01_dn)
3. Remember the name minus the last part (eg. sky_01_day01_lf, just remember sky01_day01, ignore the _lf part)
4. Go to map > properties and highlight the skybox section
5. replace whats there with your skybox
Have fun.