OK, I've had a couple of beers but that code behaves exactly as I would expect. As I said, setting an EntityOrder of anything other that 0 causes that entity to be rendered without consulting the z-buffer. Thus the entire entity (skybox) is rendered, obscuring the sphere.
If it were to consult the z-buffer, that would make setting an EntityOrder pointless, since the entity would be rendered according to the z-buffer and would be no different from not setting an EntityOrder at all.
If it were to consult the z-buffer, that would make setting an EntityOrder pointless, since the entity would be rendered according to the z-buffer and would be no different from not setting an EntityOrder at all.