It is most likely that the skybox is not actually in your land from the simulator's point of view. The location of an object is determined by the location of its root prim (the centre of its root prim to be precise); therefore, a large object can be located in one parcel and yet protrude into its neighbouring parcels. The upside is that object does not count against the prim allowance for your parcel but, as you have discovered, you cannot use the parcel tools to do anything about it.
I suppose if the intrusion is gross enough, and an IM to the owner hasn't corrected the situation, then an abuse report *might* have some effect but, otherwise, you're stuck.