Can I ask where you found the number? Because if you found it on the website, it would most likely be a free 03 number. Even if you google 'sky number' an 03 number comes up.
If your mobile phone provider does not give you free calls to 03 numbers, then it is not Sky's fault, and they will not credit back whatever you were overcharged, mainly because they were not the ones charging you. Also, many 08 numbers can be found online and people call them thinking it's a Sky number, when in fact it is a shady company's number who then connect you to Sky, and they are the ones charging you.
As for the callback you mentioned, the advisor is there to take inbound calls, not offer outbound calls for each and every customer, after the initial contact has been successful. Unless you request a callback yourself, and for a very specific reason, they will not offer to call you back at the beginning of the call, because they are there to take calls, not make calls. In most cases they will see your original number and the number you actually called, but it is obviously not their job to know every Sky number by heart, nor to verify whether each and every number is Sky related or not. Moreover, due to transfers across different departments, sometimes they instead see the number of the department you were transferred from, not the number you actually called - sometimes even your own number is unavailable to them due to the transfer. So, in most cases, they do not know whether you are being charged or not, and most assume you are not, as 03 calls are included with every mobile phone or landline provider, as long as you are not on pay as you go.
You can definitely file a complaint, but if I were you, I would not expect much. It all depends on which number you called, where you found it, and most of all, who your mobile phone provider is and whether you actually have any free calls on your plan right now. If you don't have free calls, then it's a lost cause. If you do, and the number is included, then you may want to speak to your provider.