No need to worry about level leaking if you are not using BSP map. Just ignore the warning message. You still can create skybox in run tume using "ent_create".
Or if you still concern about it, here's a tip when creating sky box:
1.create a big box, apply texture to it, mark all face to none(flag)
2.create another box smaller about 32 quant in all direction, align it to be centered inside the first box, apply sky texture to all the face.
3. substract the smallbox from the bigger one, and delete it.
Hope it help.