Sky Broadband FAQ
As a customer of someone other than Sky I would definitely recommend using your own router rather than the ISP supplied one. But out of curiosity I strolled over to the Sky website and found this....
5. I already have a router, can I use the same one when I join Sky?
No. You'll need to use your Sky Hub. This allows us to provide an online broadband health check, which gives you updates on the speed you're receiving and the devices connected to your Wi-Fi. It also enables both you and our tech team to carry out checks if there's a problem with your service.
Seems like a good reason to leave if they are currently your ISP.