The Sky web site says as follows (note it says "why is it best" which makes it sound as though it is optional):
Q) Why is it best to have my Sky box connected to a telephone line?
Connecting your Sky Box to your phone line is the only way you can receive a number of our interactive services, including:
Sky Box Office - Order movies and live sports using your remote control
Sky Active � manage your account online, update your Parental Controls, find Customer Support content and more.
Sky Sports Active - puts you in control with options including different camera angles, match highlights and crucial statistics.
Sky Gamestar - hosts a huge range of great puzzles and games for all the family.
More here
http://www.sky.com/portal/site/skycom/skyprodu cts/skytv/helpandquestions/faqs