I was just going to post about this same thing, I fixed up our brand new SkyHD box today to my 32" CRT via the supplied free in the box scart cable.
The PQ was absolutely dreadful, it had these dreadful colour bars moving across the screen and everything looked very blurry and appalling.
I was initially thinking it was a incompatibility in using SkyHD via a scart connector to a CRT TV (and was initially panicking as I persuaded the owner of the 32" CRT that they would see no degredation in picture to get them to upgrade and pay half for the SkyHD box).
However as a test I then quickly swapped over from our DVD player the high quality Cambridge Audio Ritcher sounds Scart cable (which cost me £23 in December 2004) with the one from sky. The Picture quality from Sky then immediately shot right up to the level I expected.
Needles to say the free Sky Scart cable is going straight in the bin!.
So I would say most definitely buy a good Scart cable to fix up your sky box.