I get the feeling Polokus didn't as much create the Universe, but rather their Universe, or, to put it in other words, dreamt into existence everything that can be seen on Rayman's world. Since the Pirates came from outer space (read: 'outside' of Polokus's dreams), the spirit has no power over their dominion (the sky). He very well may have dreamt up the world and its skies, but he, such is the nature of dreams, has no control over them once they're there. It's why his nightmares have been allowed to continue on to live in the world of the Rayman games.
Polokus's power to create is as much a blessing as it is a curse - he can form marvellous things with his mind, but control over them he has not - similarly, if he creates horrid, foul beings, control over them, he also has not.