Are you sure it is being sent back to Sky because if it has gone back to their depot you might be able to arrange another delivery via their website.
As for returning this other router if it is shown here then if you are using it until you get your hands on this replacement it will need to be sent back:
https://www.sky.com/help/articles/return-tv-broadband
Make sure you get and keep proof of posting when sending this off.
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