Reproduction steps:

1) Open attached project scene "skies"
2) Select Red Volume gameobject
3) Notice sky is being rendered using HDRI Sky override and its pure red
4) In Visual Environment override change type to Physically Based Sky

Expected result:
Visible red(HDRI sky) is now replaced with Physically Based Sky

Actual result:
Sky does not render, turns black.

Additional info:
Works fine if HDRI sky is used instead of Phys sky.
If you set Light Override Mask back to the default value (Nothing), Physical Based Sky is rendered again. The project showcases decoupling the visual environment from the lighting environment.