I don't give a fig what Facebook does, I have no information on there that would be of interest to them.
The programme you are watching is misleading the viewer. When you call Sky to subscribe to their services, the ball is rolling and you are give a 14 day cooling off period, in which time the contract will be sent to you. Sky assume, correctly, that most people are NOT going to read said contract.
Just for your own peace of mind, I have dug out my very own Sky contract and this is what it says
Information held by the Sky group about you may also be shared with other companies outside the group, including for sales, marketing and market research purposes, unless you indicate that you wish to be excluded from such uses by contacting us on 08702 40 40 40
I am the type of peron daft enough to read the contract given to me and I am the type of person daft enough to work in contracts and have been studying the profession for a couple of years now and I know they are legally obliged to tell you they can sell your details, that anyone can opt out and that they can put it in small print if they wish.