The audio option on Sky HD is one of the worst things about it. Sky are clearly working on the assumption that that whilst the majority of it's subscribers may well have bought a HD TV, that they couldn't be bothered to buy a decent audio system to go with it. Hence they're using DD, i.e. a format that's been around for over a decade and has absolutely nothing like the bandwidth available on BD disks.
Whilst that's all true, it's all about bandwidth at the end of the day, they have to balance it up, and when you consider that the video bitrates and much lower then BR as well, IMO DD5.1 is a reasonable choice for them.
I do of course notice a small improvement in Audio and Video when viewing the BR over SKY, it's not a bad effort by them, but you really shouldn't expect BR levels of video/audio over that type of distribution model.
The whole not passing DD5.1 over HDMI is ludicrous though, even I've dragged myself into the 'noughties and gone all HDMI, and despite the receiver handling this fine, it's just a strange decision, especially when I'm sure the newer 500/1Tb HD Boxes are probably more then capable of it.