None, that I've heard of, providing you still have the sky router when you require support, and haven't flogged it on ebay or something like that
. Although I do recall reading a post (on skyuser I think) that one customer whose service had been suspended, was initially told when he rang support, that it was because he was using a non-sky router.
However, he was subsequently informed that the real reason was that they'd detected virus activity on his connection, and his service was fully restored after he'd disinfected his PC.
Sky could easily check who is not using the sky provided router: firstly the wan MAC address would be wrong (although you can easily change that). Secondly their dslam would be able to detect your router chipset (although the sky routers do use two of the most popular chipsets).
Thirdly, your sky router checks every month or so for firmware updates, and sends its MAC address to the update server, so if they wanted to, they could easily compile a list of users who haven't had their sky router connected for over a month.
I've previously used a non-sky router, and would in the future. I am only not doing so now because it is wonky.