(Haven’t tried skylight mode before).
Is this the most V5 could do in an active viewport ?
You can use spot lights and or sun.
Sure, it can do other things.
… but those grainy shadows was the most it could do with skylight ?
In Rhino 5 yes, the grainy look is as good as it can get.
in Rhino 6 the Skylight shadows are MUCH improved and smooth quality (actually you can control their quality via Shadow Quality slider per-display mode).
I suppose you could try Neon for RH5 but that’s not really the same thing…