Your Sky+ box is really two completely separate devices. One half has a tuner which sends a signal to your TV set. The other half has another tuner, which sends the signal to the recording device.
Both tuners need separate feeds from your dish's (dual/quad) LNB. It seems that one of them (which feeds a signal to your TV) has a proper connection from the LNB,while the other (which feeds a signal to the recorder) isn't recognising that it has a proper input signal.
You should have TWO cables feeding into your Sky+ box. Check that they're BOTH plugged in properly. If they are, report your problem to Sky.
Chris