All these answers are good, but I feel the information on this thread is a bit in pieces, so here’s my take on how to explain the whole thing step by step (I’m just collating the info from previous answers, it worked for me):
- Go to the outliner and select your SkyAtmosphere. In the details, choose “SkyAtmosphere (Instance)”, click “Add”, and add a Static Mesh.
- Click your new mesh, go to the Static Mesh property, and change it for SM_SkySphere.
- Click your new mesh, go to the Materials property, and where it says Element_0, change in the dropdown for SkySphereMaterial.
- In your content browser, go to All/Engine/Content/EditorMaterials/Thumbnails and open SkySphere Material.
- In SkySphereMaterial, follow the comment by @Frigon_Tech:
5.1. In Details->Material->Blend Mode, choose Opaque
5.2. In Details->Material->Shading Model, choose Unlit
5.3. In Details->Material->Is Sky, tick the box to mark as True
With this, you should be getting rid of that message.