As far as I know, the only time we see Sky use his physical sheilds against Jack was in Beginnings Part 2. Jack didn't phase through them then, but he wasn't expecting the sheild to *be* there, so he wasn't trying to.
And during Walls, when Sky throws up a sheild to avoid talking to Syd, she pokes it, then shakes out her finger, saying 'ow', like she got a minor shock.
It's never been established on screen if Jack could phase through Sky's sheilds. I've seen some fics that made a convincing arguement that he could phase through. Though you'd have to take into account that Sky's sheild seem to give off at least a mild electrical charge.
(And movie Iceman vs Pyro is no question. Iceman hands down. I think it's in X3 where Iceman kicks Pyro's ass. Not to mention that Pyro can only *control* fire, he can't produce it; all Iceman has to do it subdue the initial fire and then take out whatever Pyro's using to start his fires. ;) )