This is not a good idea for the default skybox.
Create your own local files, modify them as needed.
You can check if the material is immune to rotation by changing the Z axis rotation in editor.
I don’t seem to recall this being the case, but it’s been a while since I last touched it.
Either way, if you are rotating the sky to rotate the clouds, that’s not a good idea.
Rotating a whole mesh is arguably a bad idea in all cases.
Take as an example a realistic star map.
You need to rotate it so that the longitude and latitude can be taken into account.
At the same time - because it is easier to do - the star material needs to keep on panning at a constant pre-set speed.
If instead you rotate the mesh, then you have to work to figure out the longitude and latitude inclinations - and could possibly get the stars to spin awkwardly.
The panning material instead will just keep on rotating the correct way endlessly… making it a bit easier.
If you explain what you are trying to do a little more in depth, i’m sure several people on here can give you proper directions.
If you are curious on other setups you should check out the Souls project btw. I think they still have a downloadable version or at least blog entries on how they got Unreal to behave.