Thanks Brecht for the answer.
We did pay a lot of attention to colorspace conversions and we did compare to several render engines.
We do have a match with renderman, guerilla and arnold. I don't think it is an implementation issue, but rather using a dataset that is not the right fit.
When I say red/purple, obvisouly I mean a blue color with too much red component. And this is where it gets tricky, right ? It can be very subjective to compare these colors.
From all the tests I have made, I never get a blue sky color (to my eyes) when I use 15000 to 27000 kelvin blackbody temperature.
And I believe it just comes from the fact that blackbody temperatures are the wrong dataset for that.