One way to avoid this is to just set the skybox through the script. That way you can use whatever background colour makes it easiest to edit with in the editor.
void OnStart()
{
//May also want to use: SetSkyBoxColor(float afR, float afG, float afB, float afA)
SetSkyBoxTexture("My_Texture_File_Name_With_Extension");
SetSkyBoxActive(true);
}
The reason why it "forgets" the skybox texture is because the custom stories directory isn't in the list of directories the editor loads in iirc. The editor only uses the file name and not the full path and then performs a search to find the texture inside the loaded directories.
The main game doesn't do this due to the way resources are loaded for CS's- which is why it shows up in the main game but not the editor.