You probably created your thok barrier wrong. Remember, the sector you're using as the barrier must have both the floor and ceiling height the same, creating a zero-height sector (EG. both the floor and ceiling are 32 fracunits high). I would also suggest that you create the thok barrier first, before you start any work on your level. This will minimize the amount of texture mistakes and incorrect sector references, errors that may sometimes appear if you attempt to create a thok barrier later and don't know what you're doing. Typically, it's best to create a large square for a thok barrier, then add in the level itself, stretching the square-shaped barrier when needed. Then, once you're established the level's shape, you can use vertex manipulation to shape the thok barrier so that it wraps around the level. Just be careful you don't accidentally drag any vertexes in a way that will cause them to autostitch.
As for the F_SKY1, that's not meant to be a real flat or texture. It's a special name that tells SRB2 to "draw the sky here". Putting it as the ceiling or floor texture will cause the sky to appear there and not a normal texture. As far as I know, you cannot apply F_SKY1 to walls. If you want the walls to show sky, you must make a thok barrier with the F_SKY1 texture. To make only certain areas have a sky wall, you can make a neighboring thok barrier sector - one that has an F_SKY1 ceiling, and one that does not. Mystic Realm has this in several levels - specifically, Jade Coast. You can use it as a reference when making multiple, neighboring thok barriers.
