It's because the ASDL signal could escape into anything else plugged into your phone line. I don't know whether that could knacker anything, fry the Sky receiver, cock up the computer modem or whatever....
Is your Sky receiver connected to the doubler with one of the standard 'data' plugs? If so, you'd be better off plugging the filter directly into the wall socket and then attaching your 'doubler' to the 'phone' socket on the filter - 'data' plug to Sky, one RJ-11 to the phone and the other to your computer modem. All your devices would then be protected.