The phone connection for the sjy box allows them (sky) to download "upgrades" during the night - these downloads are widly believed to have caused sound drop outs/picture freezing in some boxes (for more info go to the forums on digital spy) they have a rather good template that allowed me to get a free replacement box...
Spanner is correct the firmware downloads are performed via satellite - it would be prohibitively costly for sky otherwise.
The phone line is used for 2 reasons, the main reason is for premium services such as sky box office (pay per view films etc) and the other is if you have a multi-room setup. The sky box will require a phone line if it is a multi-room setup to validate that both boxes are at the same location. Sky requires this on multi-room to stop cards being used at different locations and only a single subscription being paid.