Sky rotation needs to match the track shadows (for example the shadows seen on the walls). Those shadows are just shadow maps though and can literally be manually deleted within sandbox itself, they are not actually pre-baked or generated by the lighting engine in NR2003.
You need to adjust the sky rotation in sandbox here:
The car shadow is a dynamic shadow in the game (in terms of rotation on the track surface). Does your track have any sky mips in the track folder itself? It could be overriding the NR2003 one which the NR2003 has a Sun includes which dictates the light direction.
General rule of thumb in troubleshooting is isolating everything until the root cause is found. For example have you started with a fresh track ini that is from NR2003?
Does your track folder contain any NR4/NR2002 sky mips? (remove them)
If you can rotate the sky angle in sandbox of another base NR2003 track but yours does not then you know there is an isolated issue with just your track and not the actual sky rotation option themselves.
I have built several tracks and when I rotate the sky rotation in sandbox it reflects the direction of the car shadow rotation in the game too