A skybox is a video game illusion. It is precisely what its name implies: a box of texture which resembles a sky, and maybe within that sky there are some features, but they are not in truth there, and it is impossible to visit them.
There is a melancholy aspect to skyboxes. If the player is knowledgeable enough to recognise a skybox for what it is, they will be less invested in the game world. They will know that it is not possible to visit the skybox, and will therefore need to further suspend their disbelief in order to enjoy the game world. It will too closely resemble a game to them, and not a world. Most regular gamers will immediately know whether they are looking at an impenetrable skybox, or a location they can actually visit. This results in a strange conflict, because the player can behold and admire the skybox, but also know it signifies a limit to the expanse of the game world itself. Skyboxes depict an infinity, but in reality they are barriers. Behind them there is nothing.
For the less aware, skyboxes have the potential to make a world seem vaster and more complex than computer technology could ever handle. For someone who has never given thought to the way video games are made, skyboxes have the potential to be transcendent. They are not merely static textures gating the interactive traversable map from the nothingness that lay behind, but natural extensions to the world. It may not be possible to visit the theoretical plains beneath them, or the illusory skylines that fence them, but if players are unaware they are skyboxes it is possible to imagine they are actual constructions, and not just static images. Maybe there is a secret avenue the player might have taken in order to reach that world. Designers want players to believe that it could be possible to visit them.