I watch Sky Player on my Macbook Pro but I have never tried downloading programmes, so to answer you question I looked at the settings for Sky Player and indeed it is not possible to download programmes for viewing at a later date on a Mac unless you use a Window OS, or a virtual PC application like Winebottler or VirtualBox.
I don't know if Sky Player will work with the Winebottler app which runs windows software inside OS X (I use Winebottler for running MP3Tag alongside OS X). Maybe someone else on AVF has tried or is using Sky Player on their Mac with Winebottler.