unrelated to your problem, but change "Alpha format" to DXT1. DXT5 is the same format but with an alpha channel. Since you're probably not using an alpha channel for a skybox texture, your vtf will have bigger file size without any benefit.
Only set it to DXT5 when you need an alpha channel, like a transparent texture or when you use something like $selfillum. Otherwise use DXT1 for lower file size.
Also a skybox texture doesn't need mipmaps I believe. Even more kbits saved~