Hey Methathesus,
I was able to reproduce this issue on my end and entered a bug report, UE-31844. The odd thing is, I was not unable to determine if this was a limitation or in fact a bug because I could trace it back to 4.9.2 engine version. This was part of the reason I decided to enter the report.
With that said, you can modify the Min Occlusion and Max Occlusion Distance settings within the Skylight to help reduce the appearance of this issue. Let me know if you have further questions or need additional assistance.
Cheers,