Yep, use any sky setting (just don't touch that Ambience).

Beacause your image is lit through the "Ambient" feed,
adding other scene lights wont effect it - and why?

because the extra lights are "Diffuse" lights,
and your material does NOT use the "Diffuse" feed,
and so it will not react to them - it uses "Ambient" remember ;-)

Now then, with a bit of luck, you'll be going aaaaaaaaah by now,
and you'll realise that if you wanted your material to react to "Diffuse" light as well...

...just go ahead and make it "reactive" to "diffuse" light
by bringing the "Diffuse" channel into play via the Materials Lab!

Len.

The wait can be horrific, but the outcome can be worse - pumeco 2006