If you want to watch the rented film via your TV then it has to be rented via it so what do you have, Sky Q, Sky Glass/Stream and what actually does the message say ?
As you have rented it via your phone you will be charged for it so you will need to contact Sky Store support about this. I would get in touch with Sky Store support regarding this, they have a live chat you can use that is available from 11am-7.30pm Monday to Saturday and can be found here:
https://www.skystore.com/help/contact-us
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