GRIMBER,
You are correct, the Z is for elevation, but what exactly do you mean by not placing a skybox? I have a box that encompasses my entire level and I put a low count texture on it. The skycube texture is in the folder with my level and it is in the "Images" folder and I even added it to my TEXTURES WAD.
At first I thought you meant a "skybox" was a SPRITE or PREFAB or Something under Objects Tab, but that can't be, no such thing there.
So, what do you mean by "skybox", if it is not the hollow box I have my level enclosed in?