and you can't easily transition to a 3D skybox because of the visible shift in lighting that would occur.
Most of the time when such things happen its the mapper. The engine has a pretty good transition to the skybox, even with lights. The problem lies in lights that hit that edge as those transfer to the skybox. The map part might have additional light, or a very sharp change of light. These often break.
Reflections also get broken on water, but thats for diffirent reasons.
Normaly when making a transition to the skybox ensure that the connecting brushes have the same lightmap scale (and brush scale). That means at a 16x scale that the road should have 16 on its light setting and the skybox part should have 1. The game can then easily blend it further. If a light touches the skybox edge ensure that the skybox also has the same light setting.
For brushes they just need to be at an exact scale in dimesions to the connecting part. A 256 wide brush would have to be 16 wide in the skybox.
When keeping to those rules the visible edge will be very minimal and in many cases you wont even notice it unless you get told about its existance. Just be carefull though as a lightmap scale of 1 takes alot of MBs if misused. If its a large area the connecting brush inside the map area would be more efficient on a 32 or 64 lightmap scale where in the skybox those respectively would be 2 and 4.