Although I overall love and prefere Shenmue II to the first game, I will be in the minority here because I kinda prefer Shenmue I's sky. I acknowledge the problems with being a 2D plane and so, but it had more texture and, specially, more realistic colors.
I remember being amazed at the yellowish afternoon sky in the first game, while getting a kinda weirdish too saturated plain pink in the second game.
Combined with the fact there was much less difference between day and night activities (people in the streets, stores opened, etc.) in Hong Kong and Kowloon compared to Yokosuka, it felt like a big downgrade at the time.