Opening TCP or UDP ports isn't the issue here. VPN come in many different forms, but a lot of them make use of different protocols, i.e., internet communication which is neither TCP, UDP or ICMP. Most routers will do NAT translation of these protocols, in addition to the NAT translation that they do for TCP, UDP and ICMP, but it seems that the Sagem router does not.

I really can't see any solution to this (assuming what I wrote above actually is the cause of the problem). I'd imagine a phone call to Sky saying, "I can't connect to my company's VPN servers," will just get the response, "Well, the Sky Broadband service is only intended for private, domestic use. Business use is specifically excluded."