ND itself doesn't add noise. Did you check if the gain switch was set to "L = Low"?
Setting gain to M or H does add noise but its harder to detect the noise in pictures
with many details.
I've gotten noisy skys too and it's not an issue with the ND filter, although correct exposure would be a factor. Other's have suggested it's due to the use of the cine matrix which boosts chroma and since blue is the noisiest channel of the three - hence the noise.
Check my thread. Perhaps you are experiencing the same problem as I. Things tend to get noisy in the underexposed range, and things get worse if there's color involved...