hi dan- let me see if i'm clear on what your situation is... you're getting the error message with and/or without the skybox?
i have experienced this as well (using nems) and traced it to several missing 'triangles' in the level geometry. i was fortunate in my search because even though the 'holes' were scattered throughout my map, they were all on the ground plane and quite visible.
as i recall though, a visible search was necessary as i was unable to find the problem in the editor itself.
i agree - if the editor can recognize and report a leak being present, an indication as to the whereabouts of same seems both reasonable and practical.