I found this very interesting tutorial on how to create a rainbow not using the sky replacement tool. It's a bit more involved, but I think the results look a lot more natural.
I also found out that there is a default feature using the gradient tool. Photoshop's built-in "Russell's Rainbow", who knew? Not me.
Anyway, here it is.
https://www.youtube.com/watch?v=2DfWw9ycoMY&list=LL&index=2