Do you need it? No, but you might want it for convenience.
If you have more than 1 HDMI equipped source but only 1 HDMI input on your display you can use the amp to switch the video & audio feeds with one press of the remote control. Plus you only need to run a single HDMI cable to the display which could be uselful if it's wall mounted.
HDMI can carry audio as well as hi-def pictures although I'm not sure this is the case with Sky HD. I think you would use an optical digital cable to connect to your amp.
It's something that will become more useful next year when we start to see HD-DVD or Blu-Ray players & amps with 1.3 spec HDMI connections. I think some of the new sound formats that those players support will only work over HDMI.