Well I don't personally do sky replacements, although I have experimented with them. But sometimes the creative challenge is in the editing to make the final image look like what you saw in your head. I don't really see sky replacement any different than cloning or flipping and pasting half an image to make it symmetrical, or any number of other things that photoshop can do.
Some people are purists and think everything should be done in camera, and some people enjoy the editing. Others are somewhere in the middle, and I think there is room for everyone in this thread.
(Also, I think Stephen actually agreed with your sentiment based on his comment, but was just seeing how the whole thing worked.)