All this ignores a major factor; the energy consumed by these devices is radiated as heat into your home. If you have thermostatic control of your rooms/house then that heat will contribute to the thermostat switching off just a little sooner, or going on later, a little more often.
In that way, the energy is not 'lost' or 'wasted', it is just added to the energy used to heat the home. If we consider a house to be a closed system (it's not, but leaving your Sky box plugged-in doesn't change that), then the net effect is...close to zero.
Yes, it may be more efficient for many to use gas to heat rather than electricity, but at the volumes we're discussing this would be a rounding error in overall household consumption.