@CarlH You are not missing anything and there is noting you can do about it. This is one of my main criticisms with the Sky streaming platform. I am aware that Sky are looking into the matter but unfortunately it does not appear to be too high on their priority list.
If it is a programme from an App (iPlayer, ITVX, My5 etc) you can usually go into the App to see which episode was the last one watched. Unfortunately this will not work for Sky programmes.
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