Stevenage Neil
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On a Harmony you can "learn" any commands that control any device.
It's often done for situations like this, and for devices that work in more than one zone.
I think you underestimate the complexity of the problem.
To programme every button on a Sky remote, twice, is not an easy operation.
Much, much easier to use two Sky remotes - you could even stick a sticky label on each marked Sky box 1 and Sky box 2.
(Also, Sky remotes are far, far cheaper than a Harmony.)