Hi, xna -
Elevation is the 'Y' coordinate - the middle of the three textboxes to the right of the 'Position' label on the camera property page.
The three rotation values below position control camera angle. The first rotates it about the X axis, the second about the Y axis and the third about the Z. The effect, then, is that the first value controls vertical direction (up or down), the second controls horizontal direction (north, east, south, west), and the third is camera rotation (sideways tilt).
It's the third of these that Oshyan referred to - it should be set to 0 for all frames of a standard skybox.
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The second should be at zero for all frames except sky and ground.
Ooops! Make that the first, as shown below.
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Raise your camera by increasing the Y position coordinate, then shoot your frames with the following rotation settings:
Frame1 - North - 0,0,0
Frame2 - East - 0, 90, 0
Frame3 - South - 0, 180, 0
Frame4 - West - 0, 270, 0
Frame5 - Up - 90, 0, 0
Frame6 - Down -90, 0, 0
As for the bug... are you sure? I've used setups with a half dozen cameras at a time and haven't seen anything like that. Not that it isn't possible, of course...