When you say INSIDE the skybox do you mean inside the literal box you made with the 1/16th models?
Yes.
The only thing you need in there is the sky_camera. light_enviroment can stay with all the other light entities. Mine are all right next to the main point on my map.
Tried sky_camera doesn't seem to make any difference.
I made simple level and put one part of the level models, it looks like its dropping a shadow on the ground brush but as if it that shadow came from a simplified model of the object (probably generated convex hull) or a bouding box.
So I am going to try creating the collision models for the props see if that lights properly then.