It’s a common issue I hope devs report to Epic. The sky light at high intensities makes the images look washed out (like a cloudy day) and does not work as a good ambient light for sunny scenes. On the contrast, low intensities of sky light provide unrealistic dark shadows. The problem has to do with Lumen not producing enough indirect (or bounced light). The skylight also has an indirect intensity value that currently on UE 5.4 does not work and has no effect.
You may try to simulate bounced lighting manually by adding extra area and spot lights but it is not very time and resource efficient. A best use case for area/spot lights would be on the windows of interior scenes, because the Lumen’s sky light has a hard time shining enough light into interiors trough windows and doors without increasing its intensity to unrealistic levels. In other CGI software the solution to brighten shadows will be to increase bounced (indirect) lighting of the sky light. It would be cool to have a setting to make the sky light emit more light further into caves simulating more bounced lighting.