Personally, I'm with you on this: if we can UPGRADE online, we should be able to DOWNGRADE online.
However, I do see Sky's reasoning for wanting you to call them for a downgrade or to leave: it gives them a chance to offer you a special discount to keep you as a customer (or keep you subscribing...
It's not a Premium Rate number, just a non-geographic number - which means it doesn't get included in any inclusive plans.
I suggest you bookmark saynoto0870.com - I've used it many a time to get a geographic equivalent of a non-geographic number.
For the record, Sky Customer Services are on...