Can you, like you can with Virgin Media (having first contacted them to switch off DS-Lite and give your box an IPv4 address...), run the Sky box in modem only mode and then attach your own wifi router to provide wifi and whatever other services you want (e.g. VPN, ad-blocking etc.)?
If you have a router which supports PPPoE you should be able to use your own router directly, without the need to bother with Sky's equipment.
I've yet to try this with Sky but have done it with other providers successfully (FTTH)