Sky posted the following statement last Friday:
A Sky Spokesperson said:

We have taken the decision not to broadcast Elizabeth, Michael and Marlon, a half hour episode from the Sky Arts Urban Myths series, in light of the concerns expressed by Michael Jackson’s immediate family. We set out to take a light-hearted look at reportedly true events and never intended to cause any offence. Joseph Fiennes fully supports our decision.”
Now I wonder what 'true events' Michael Jackson's immediate family didn't want aired?