Same no-skybox bug here with HD 5770 and AMD 16.2 Crimson drivers. It seems that Terascale architecture only supports up to Opengl 4.4.My card is legacy... so it's forced to have the 15.31.00 driver (my GPU is an AMD Radeon HD 5700)
The performance though is quite good with Cemu 1.5.1, like 45-60fps for the most part in SM3DW.
It would be great if this could be fixed in future versions.