With TV/radio/satellite reception and distribution systems in blocks of flats, yes, the system does need an earth connection to the building's main earth terminal (MET). Where the signal wires connect directly to the switch, then the switch itself should have the earth connection. Other installs might use a bus bar to make a common earth, so either that or the switch can be earthed as it serves the same purpose.
The connection to earth must only be made by a qualified electrician. The chances are that the Sky installer isn't qualified.
Maybe the system is earthed, but the installer missed seeing it; or it's not earthed at all, in which case he can't do anything with it without opening himself up to a heap of trouble for the liability. Either way, he's playing it cautious because that's the safest option.
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