Fabien if you shoot in RAW you should be able to recover the sky. Try to expose to the right on the histogram, but take care that you don't go over the edge and get blown skies.
The slightly ethereal light on the cemetery shot is actually OK, and the idea is good, the problem with that shot is that you should have focused on the gravestone and let the background drop out of focus, it doesn't quite work here because the focus isn't true on the stone.
There is certainly a strong case for photographing details, as Tim suggested, when the light is difficult, but photographing into the light in landscapes can work really well, as long as you control the exposure properly. Shooting in RAW is essential, as your dynamic range will be far wider than in JPEG.
Years ago I went on a bus tour to the Somme without a suitable camera and in awkward light, and suffered just the same difficulties. I took plenty of record shots, but nothing with atmosphere.