I'll address your opening question first: Yes, it is OK to change backgrounds. It is your image and you can do whatever you want. Sometimes we get all twisted up in the "it must be 100% natural" vs. "That has been heavily processed" discussions. If you are entering a contest where the rules dictate how much, if any, editing then you need to abide by the contest rules. Also, there are rules and guidelines around photojournalism if you're into that genre. Your photo above isn't photojournalism.
Now, to the subsequent discussion, I do like the last edit better than the yellow sky edit. On the first edit, with the yellow sky, I think the issue isn't the sunset it was how far the sliders were pushed. You could have masked the background and warmed the white balance a few degrees if you wanted.
But at the end of the day, it is. your image and there is absolutely nothing wrong (as far as I'm concerned) in editing it any way you see fit and making it an image you enjoy.
Just my 2 pennies worth.
Jeff