Sky worked for me, I took the sky out of that thing to make the file smaller, however I didn't have any troubles here with a skycube or the stock animated sky texture. I guess we'll start at square one...

Did the trouble start when you went to build your own~ or did the demo never quite work right for you??

Let me give you a link to a 3 texture build with a sky in it, run it and tell me what happens. If you need one with 2 textures let me know and I will do that instead.
test.zip --- 3.49 MB

Eric