Try letting Sky Go through any firewall you use.
If that doesn't work another member has posted this:
1. Delete Sky Go app from applications folder AND trash.
2. Open Finder then Go from top menu bar
3. Copy and paste one of these libraries and carefully seach for any Sky Go files or folders and delete them (then delete trash) :
~/Library/Preferences/
~/Library/Application Support
~/Library/Caches/
~/Library/Logs/
~/Library/LaunchAgents
~/Library/Cookies
~/Library/Group Containers
4. Then repeat with the next library and so on until all are searched.
5. Delete Trash.
6. Reinstall Sky Go for Mac from sky.com
7. Launch app
8. Sign in