no matter what weather I select (except rain), I get a clear sky. Is this a common issue? I'm in VR so not sure if this has anything to do with it.
Check which session you're adjusting the weather for. In the session settings you can select Practice, Qualifying, and Race. You might be adjusting the weather for Race and not seeing any difference in Practice. Also, if you're making fine changes, each session has 5 sections you can adjust, so again you could be adjusting a section you're then not getting to.
Checked all that and still doesn't work. In fact even when I put rain the sky is still super bright and mostly blue.
