It is something to do with the DVB standard in UK with the default 'English' setting always being the home language. You have to select 'Welsh' to get English on the Sky box too.
Here's a tip which worked on the V6 and Sky boxes, so may work on 360 too. In the main audio settings set your default language to 'Welsh'.
As everything is in English that will still be the default - but the S4C English commentary is labelled Welsh and so automatically switched to the mis-labelled English commentary.
The same system works on BBC Alba on the odd occasion that have an English language track too - but you have to select 'Gaelic'.
So the audio should go to English without having to use the RED button.
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1.2Gb/55Mb in Area 31