It is correct I'm afraid as you can't send rented films to your box. If you want to view it via your Sky box then it might be worth getting in touch with Sky Store support about this so they can cancel the online rental for you.
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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