I got my MAC key from Sky two weeks ago and have now switched to a new provider without any problems. The only thing, I did find fiddly with Sky, was that the option to request your MAC is buried so far down in the telephone options - it's almost impossible to find.
However I was weary about Sky cancelling my service, as I've heard some horror stories on this board, when people have asked for their MAC key.
In my case though, they were really friendly and sent it via Text message to my mobile phone, three days after I requested it. Now I'm off Sky LLU and back on IPStream.
Just wanted to add my own experience