I'm sorry to argue with (almost) everyone else on this thread, but I do not find the red dot on Sky Sports annoying. In fact, it is one of the least annoying interactive prompts there is!
Much more annoying is the BBCi prompt
here. However, it can be taken away using 'back' or 'tv'. I personally do not mind doing this, and find the red dot a useful tool for finding out about services which I may want to use (Wimbledon Multi-screens and the like)
There is, however, no reason why broadcasters could not make the red dot semi-transparent, such as the BBC logos used on some of their channels, and I would welcome a change such as this.
~Jon