From WYMetro Site
Family DayRover
for groups of up to five people (up to two adults and up to three children/Metro concessions or one adult and up to four children/Metro concessions) or just two adults on both buses and trains.
£10.30
Adult Train & Bus DayRover for one adult on both buses and trains.
£7.10
MetroDay for one adult on buses only.
You buy it on the bus and it's valid on all services at any time.
£5.20
Adult Train DayRover for one adult, valid on trains only.
Buy it at staffed rail ticket offices, or on the train if there is no staffed ticket office.
£6.20
West Yorkshire Concessionary Train DayRover
for one child (aged 5 to 15) or other concessionary passenger valid on trains only.
Buy it at staffed rail ticket offices, or on the train if there is no staffed ticket office.
£3.10
So it doesn't say where you can get the bus/train one from (a pity, might have been useful around Hebden Bridge, as the really good pub is a bit of a walk from the station) but it clearly says you can get the train one on the train or at unstaffed stations.
Even if that means (for some reason perhaps known only to Sheffield Station staff) just WY stations then you are still OK because Denby Dale is unstaffed so the guard will sell you one (hopefully without making you step off the train and back on again!).
In my experience, Sheffield ticket sellers are very helpful (and so are the Northern guards on trains from Sheffield).
Perhaps at Sheffield they tried looking up the bus/train one rather han the train-only one?
I bet someone on here can tell you the code for the Dayrover, so all the ticket-man has to do is type the code to type into his tickety-machiney thingy (I'm a bit new here!)
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Someone tells me the code is K701, and that although you can't use that code as a destination from Sheffield, you CAN use it as a destination fron Denby Dale.
So I assume there is no reason Sheffield can't physically sell you the ticket, if they use Denby Dale (or anywhere else in West Yorkshire, presumably) as the origin station.
I have read reports on here of Sheffield refusing to sell tickets from stations other than Sheffield. However, I think that might have been something to do with a few particular stations which some dodgy types try to use as an origin to Mancheter to save a bob or two (something to do with the mysteries of doubling back).
I suggest giving them another go by chatting them up and explaining exactly what you are doing. It may be best if you have the SYPTE ticket to show them, so they can see you have paid for the first bit. When the ice is broken, ask them to try using Denby Dale as the origin, and K701 as the destination.
I'm almost certain that will work. Otherwise, the best plan is to talk to the guard before you get on the train , show him your SYPTE Day ticket, and explain you'll need to buy a WY Bus/Train dayrover at Denby Dale because you can't get it at the ticket office. I bet he'll look at you gone out for making such a fuss and say yes.
I did say earlier that all Hudds trains from Sheff stop at Denby Dale, but you'd better check that for yourself, just to be sure.