That might be becuse you did another comile and light. When you realy just neaded to recomile.
I think!
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Why whoud the just compile option be thare if it had no use ?
If you compile and light, and choose another sky tag, to change the model for example, you would not have to relight or recompile. Or anything of that manner.
As for when you edit a shader, or edit geometry in 3ds max, you do need to recompile and relight.