You should check that the SCART lead is connected to the socket marked "TV" on the back of the Sky+ box, and that the other end is connected to the AV1/EX1 SCART socket on the TV (i.e., RGB capable). Then go into the Sky+ System Setup > Picture Settings menu and set Video Output to RGB, and Picture Format to 16:9 if it isn't. As that may produce a bigger improvement than a new lead.
Regarding the PS2, if you're currently using the supplied composite leads then yes, the
component cable will produce a better picture.