When you say you couldn't get it to control the Sky box, what were you trying to get it to do? It's my understanding that, until Sky and MS sort the software out, it'll act purely as a pass through so no control will be possible. You'll still need the Sky remote for that.
Mine happily turns on and off the TV and AVR, and does the volume on the AVR too (in helpful 1.5dB steps too, rather than the useless 0.5dB steps I was expecting).