Light Source Disappear with SkyBox


I created a giant sphere, set Cast Shadow to False, set its material to Unlit & Two-Sided and assign EXR texture on Emissive Color.

I also set both Atmospheric Fog and Exponential Height Fog’s Visible to False and Hidden In Game to True.

The lightings work fine, but now I notice my Light Source Directional Light sun disc no longer showing, both in editor and packaged game. What do I miss out here?

Thanks in advance!