Well, I have some experience of working with sky boxes, and here's my two bits:
-First of all, make sure its a box, sky spheres don't work very well. Plus, they are a dozen times more difficult to make.
-Boxes need to be excluded from lighting, and can't have ANY shadows, neither casted or recieved. Its important that we can't see the edges of the box.
-Boxes are usually placed far from the player. They don't rotate, but they usually move away from the camera. ie: if we move to the left, so does the sky box, so that we never appear to get closer.
-Sky boxes can't be culled. The camera should always be able to see them. In short, the camera only cuts out certain types of objects, such as units, when they get further away.
-Biggest problem is the edge of Glest maps. What would we see then?
-Another problem is fog of war. I have no clue how they would react to this.
-Sky boxes would also need to change depending on the weather. We wouldn't want cloudy skies when its sunny, or sunny skies when its raining.
Overally, sky boxes could be very difficult to impliment in Glest. The fact that we can't see them without rotating the camera, as well that we will usually never play with the camera rotated like that, just makes sky boxes impractical. While I do think they would look great, and wouldn't mind seeing them, I just think they are too difficult and too unneccessary for Glest.