In the UK:

If your digibox was subsidised by Sky, as part of their installation agreement, then you are supposed to keep your digibox connected to the phone line for one year, as per the terms and conditions of that discoutned installation agreement.

If you have a Sky multiroom subscription, with two digiboxes at one address, then both boxes have to be connected to the phone line, as per the terms and conditions of the contract, to make sure you don't go and use one box at another address.

The telephone line connection is used for:
ordering Pay Per View Movies
buying itmes on shopping channels
voting on TV programmes
contacting Skys central computer to ensure the digibbox is connected to the correct telephone line and number.

If you disconnect the telephone line connection the box will still will work - as channels, and software updtes are done via the satellite.

Skys policing of these telephone connection can be random.

For multiroom contracts, missing a "callback" for a couple of months can result in the second "discounted" subscription to be charged at the full / correct rate, rather than the £10 per month discounted rate.

Therefore, sometimes, it is not ideal to arrange a "fre" or cheap digibox via Sky, if you intend to use that Sky digibox in Spain