When painting with watercolors in my style, the under-painting (initial wash), is very important as it holds a painting together. The under-painting must be tonally correct or the painting will never look quite right.
The sky is usually the lightest part of your painting – better too light than too dark.
If you paint your sky to strong a tone then you will have to paint other parts of your painting even stronger which will reduce the transparency of your painting i.e. if it your paint has to go on too thick to retain its correct tonal relationship amongst its various parts.
This is a simple and maybe obvious point but it is still very important.