This still works in U4: https://www.youtube.com/watch?v=uWYpyNkF26o
That setup is for reflection, but has many common things with what you want. It shows how to use cubemaps in materials.
Now creating skybox may be fun. First you need static mesh that displays your skybox (make material unlit). Mesh can be box, or sphere.
You can also make your material use mesh UVs or create some uv math nodes inside materials so it uses world coordinates.
Then there is also “ancient” way of skyboxes that was done in ut2004, you make “tiny” box put your actors and effects there, then you create cubemap capture camera there and project on your actual huge sky.
It eliminates movement from player pawn, and adds that feeling of huge sky. Rest is just like making sky on big mesh (see above).
But it think best would be if you disassembled current blueprint for sky and modified it to your liking.
ps. did not noticed those screen capture renders are no more cubemaps.