I might be mistaken - but I think this way, Frosty's winter will overwrite all weather 3.5.1 references to the additional skyboxes and lighting settings since all weather and climate related SII-files are the same for the whole game (Vanilla, as well as Grimes as well as Weather 3.5.1) and just get overwritten by the mod on top of the other. It works
On the other side, if you put it below Weather 3.5.1 (as suggested by Juninho), then you won't get Frosty's winter lighting.
Imho, all Grimes seasons generally work fine with Juninho's Weather, but you have to put them the other way round in the load order in order to profit both from
- Grimes' seasonal textures (leaves, flowers, autumn)
- Weather's additional skyboxes and lighting
except Winter / Frosty:
Since this year, I prefer driving Frosty without Juninho's Weather again since winter has such a special atmosphere and lighting which isn't included in Weather.