If you don’t have a sky(skydome image, atmospheric fog, whatever), then your skylight isn’t going to capture anything. You can stick with the Atmospheric Fog, or place a Static Mesh dome with a skybox texture so it’s picked up in the skylight cubemap.
If you never see the sky in your game, you can either use an Ambient Cubemap in Post Process or plug in the cubemap to the Skylight. The cubemap with the skylight works well for baked lighting because you still get the baked occlusion from the Skylight.
And you don’t really need multiple directional lights. Use one for the sun, and place point or spot lights around the scene for additional lights. Depending on how your game works, you can disable the dynamic shadows, but also make sure you bake lighting before you worry about performance.