What has Sky got to do with anything? The socket belongs to Openreach whoever you have for an ISP.
If you fit a brand new shiny master socket today and then callout Openreach in a weeks time it's going to be pretty obvious that you've been messing with it. In two years time who's to say.
I've never heard of anyone getting into any trouble for changing a socket, but it could theoretically happen. That's why you get the warnings.
The wires are live, but it's only lowish voltage DC. You aren't going to hurt yourself but be careful not to short them.
There must be installation guides out there if you search, but almost any idiot can disconnect and reconnect two wires. With the modern sockets you don't even need tools to connect the wires.