I've tested this problem extensively and I can't find the problem. When I'm hosting the challenge, and other people do not have the map, they download all the interiors fine but the sky does not download.
When I am hosting it, I can see the sky fine and it's setup correctly in the mission editor. I've tried multiple skies and all of them work on the host, but none of them download to the client that doesn't have it.
Here is the sky in my .mis file but I think it's something else
new Sky(Sky) {
   position = "336 136 0";
   rotation = "1 0 0 0";
   scale = "1 1 1";
   materialList = "./sky/resource.dml";
   cloudHeightPer[0] = "0.349971";
   cloudHeightPer[1] = "0.3";
   cloudHeightPer[2] = "0.199973";
   cloudSpeed1 = "0.0005";
   cloudSpeed2 = "0.001";
   cloudSpeed3 = "0.0003";
   visibleDistance = "600";
   fogDistance = "500";
   fogColor = "0.900000 0.900000 1.000000 1.000000";
   fogStorm1 = "0";
   fogStorm2 = "0";
   fogStorm3 = "0";
   fogVolume1 = "0 0 0";
   fogVolume2 = "0 0 0";
   fogVolume3 = "0 0 0";
   fogVolumeColor1 = "128.000000 128.000000 128.000000 -222768174765569860000000000000000000000.000000";
   fogVolumeColor2 = "128.000000 128.000000 128.000000 0.000000";
   fogVolumeColor3 = "128.000000 128.000000 128.000000 -170698929442160050000000000000000000000.000000";
   windVelocity = "1 1 0";
   windEffectPrecipitation = "1";
   SkySolidColor = "0.000000 0.000000 0.100000 1.000000";
   useSkyTextures = "1";
   renderBottomTexture = "1";
   noRenderBans = "1";
     locked = "true";
  };
And I've tried putting the skies in another directory and alongside the .mis file. None in which send to the client but works fine if you already have them
