I don't like the idea of Sky having the phone connection; perhaps I'm cynical/paranoid?
It is a 'condition of service' that the sky box is connected to the phone line, but (ahem) one of my children has a habit of unplugging it...(I sometimes don't see this as the phone socket is behind a chair).
I've not noticed any problems either connected or disconnected; however some people may have problems with their phone not ringing if they have a few phones connected already. This is because the REN on a line is not supposed to exceed 4. I'm close to the exchange, & have had no problems.
You may get a phone call from sky asking why the box is disconnected, but I haven't in nearly 3 years. (Excuse - see above!)
If the box is disconnected you can't use the on-screen film ordering, but the kids can't use the interactive to enter these pesky call-in competitions either, so it might save you money!