A quick test was done and our egnineer can understand the cause of confusion.
The basemap is just applied to the object as a base color, off of which the results of the cubemap can be seen (like reflections off of a textured ball).
You should be using “Load CubeMap(.dds)” or “Load Cube Cross” instead.
It may also be helpful if you check the “Skybox” option in the blue “Modify Display” region. This way you can see the cubemap that is loaded as a skybox – the basemap does not show up as part of the skybox, so it is clear that it is not part of the cubemap.