I found something saying I should make my skylight movable but that did not fix the issue. I am using [Four Seasons][3] There is a SkyLight and a Light Source. I click Build (and save) before I package so I don’t think its a build lighting issue, but I could be wrong.
Very old question but I thought I would answer it as it may help people who have the same issue. I had the same problem when developing a browser game in HTML. It turns out you have to create a new sky sphere blueprint using blueprint class BP_Sky_Sphere. Then drag this into your level.