I assume you have this cube placed at the camera position..

Then this sorting problem is natural, because transparent polygons are sorted by entitity position, not the Z-buffer. So think about this, if its x,y,z position is at the camera position, its always closest to the camera, and will generally be drawn on top of other transparent entities, not behind as you want.

Setting aside the fact that it's not the best idea to use a transparent cube in this way, as I'm sure you know, there is no easy way to solve this sorting problem . To do so you would need to render it in a DLL, using the 'render_sky' event. This way you could ensure that it's drawn before all other entities..(of course then I think it would be drawn before the skybox too, so you have another, worse problem).

So basically, this isnt going to work. if you want to tint your sky box, there is a much better to way.. do it with a very simple pixel shader. That way you could change it's tint at runtime to simulate changing time of day, weather, etc.