I am a bit confused, you ask about multiroom, and about Sky+, but they are two different things.
Sky+ is a Sky box with a built in hard disk and is different from a "standard" Sky box which does not have a hard disk.
Multiroom is where you have two or more Sky boxes in the same house hold. Each room has to have a sky box (be it a basic Sky box or a Sky+box).
You ask if the Sky box has to be conected to the satellite dish, well if it isn't what could you do with it ? It is how you get your TV signal.
So the answer is Yes, the Sky box (or Sky+ box) has to be connected to the satellite dish.
In the case of a Sky+ box it also needs TWO cables to the satellite dish, so you could record one program while watching another (or record 2 programs at the same time).