Yes, you should absolutely set the mode to clamp!
At the core, a “sky box” is really a function that maps “world space direction from camera to pixel” onto an “infinitely far away texture/color.” Environment maps can do this, but are generally slightly less efficient in the texturing hardware than “plain” geometry texturing (or at least was, in previous generations) and thus all the special work to create a box and map it with six different textures instead of using a cube map.
Using a single material instantiated with six different textures makes it easier to globally change the appearance of the skybox – dimming, brightening, exploding, etc.
By “rendered at infinity,” I mean special renderer support to render the skybox “behind” everything else. If the renderer doesn’t have a pass/feature/hack for this, then a Really Big Box is the second best, but if you move a noticeable fraction away from the center of the box, the parallax will start getting skewed.
There is no benefit to a sky sphere instead of a sky box. Some people use them because they don’t understand how the rendering pipeline works for the box case. In general, a skybox is not supposed to be “normal geometry” but is supposed to have a few special bits of support. I can’t find this being supported in Unreal Engine, though, hence the slight hacks.
Moving the box with the camera: Yes, if you want to avoid parallax shifting as you move the camera, the skybox should always be centered on the camera position, but properly rotated to be “fixed” in world space.
A skybox actually just needs to be 1,1,1 in size, assuming all the other render states are correctly set up when it renders.
Finally, on procedural skyboxes: You can have as few or as many passes as you want. For example, you can have a dark background with slight nebulae/color swirls. Then add small billboards to the box mesh/geometry for brighter stars and sky features. You can also overlay with shaders that blend various kinds of math and noise functions to generate interesting patterns. In the best of worlds, the “darker” swirls will be encoded full-bright in the texture, and then dimmed in the shader; this will significantly reduce the appearance of compression artifacts.
Finally: Doing it with Maya? Sorry, I’m not a Maya user. Create a box. Turn the normals inside out. Map a different texture to each face. Rotate the UV coordinates so they line up. Export, and enjoy! Tutorials for each of those steps should be available on the Autodesk web site or Youtube…