The skybox-method means one puts a large box around his level covered with the sky-texture. You'll see sky, that's not the problem. And you made it exactly fitting you say, that's not the problem too. What happens, is that a lot of space is between the outside of your map and the skybox. Space where the player never comes, what the player never sees, but what is being compiled since it's not in contact with the void. Wich results in unnecessary extra VIS and RAD work. Why compile it when it's never seen or noticed?
I've uploaded a little .rmf to show the good and the bad way to do it:
http://www.websamba.com/captainp-home/custom/skybox.zipCompile it and see that in the area where the player starts, that the outside of the room the player is in is also compiled. Look at the second room (noclip to it) and you'll see the outside of that doesn't exist in-game. Now, modify the map so the box exactly fits the room. Then take a look from the outside and you'll see the outside of that room is still being compiled. That is because any face that touches a skybrush is being compiled, resulting in unnecessary work for RAD.
You must admit the second method is easiest and works best.