Your speaker bar has a HDMI input on it and a HDMI output that is ARC compatible. Your TV has muliple HDMI inputs on it, and one HDMI connection which works with ARC as well.
To keep things somewhat simple, I would connect sources to the TV directly, then use the ARC connection between the TV and the speaker bar. Assuming the TV's HDMI 1 connection is the ARC connection, and there are a few more HDMI inputs on the TV.
SOURCE 1 (Sky Box) --> HDMI --> TV HDMI 2 Input
SOURCE 2 (Roku) --> HDMI --> TV HDMI 3 Input
SOURCE 3 (PS5) --> HDMI --> TV HDMI 4 Input
TV HDMI 1 INPUT (ARC) --> HDMI --> SPEAKER BAR HDMI (ARC) Output
When you switch to HDMI 4 on the TV, you should see your PS5 (or other source) on the TV screen and hear audio from the speaker bar.
When you switch to HDMI 2 on the TV, you should see your Sky box and hear audio from the speaker bar.
If you use an internal app on your TV for streaming, then you should hear it through the speaker bar.