There is no necessity to pay you in Sterling, however, as you are living in the UK they should be operating UK PAYE on your income. This will mean that pay and tax calculations need to be done in Sterling, so perhaps this is what they mean.
In theory, they can convert your Euro salary every month do do the calculations, but this will mean that they will have complicated calculations to do (which they probably want to avoid), and your net pay, when converted back to Euro will fluctuate every month based on the exchange rate (which you probably do not want). So in that sense it may be easier and better for you to be paid in Sterling.
As they are an ROI company employing you, they could apply for an exclusion order so as not to operate ROI PAYE. They should also consider whether you need to pay ROI PRSI or UK National insurance contributions.
Speak to them in more detail, and ascertain exactly what they need to do, and perhaps look at taking your own professional advice.