http://www.screencast-o-matic.com/screenshots/u/Lh/1377719564935-5147.png

My ISP is Comcast and I use Windows Live Mail on Windows 8 Pro.
As you can see, I have no problems receiving or sending emails while connected through VPN.

http://www.screencast-o-matic.com/screenshots/u/Lh/1377720102627-20193.png

As already stated, I believe your problem has to do with Sky, your ISP.