I contacted Lee about this and got the following responce withing a few hours;
"You are correct, the magenta skies are caused by excess IR getting to the sensor, or rather an imbalance of IR to visible light reaching the sensor. This will only happen in certain conditions and usually only when you use multiple ND filters ( usually grads and standards ) on the same image on a digital sensor. The Proglass product was developed to prevent this as they absorb the IR, so as long as you have at least one of those in front of the lens then this will not happen.
We have tweaked the resin filters over the years to absorb as much IR as possible, and even with Velvia we did not see the problem, but with digital it has arisen again and if you commonly use multiple NDs then I think a proglass would be a worthwhile investment"
Will get a Proglass filter in the next while once I have bit of money spare and report back.
John