The console is reporting the error you posted because it's looking for the skybox you referrenced and is not finding it. Because it does not find it, rather than not loading the map, it replaces the skybox with the default HL skybox.
The skybox is either not in your esf\gfx\env directory, or you misspelled the name of the skybox you wanted in your esf\gfx\env directory. In the first instance, you wouldn't have to recompile the map, just put the skybox in your esf\gfx\env directory. In the latter, though, you would have to change the name of the sky to the correct name and recompile.