Well I agree it shouldn't be required, but I would also say it is no big deal. I don't see why you would shut the Internet off to game, almost every game is designed for the exact opposite now.
When I'm gaming, I can't see what activity there is on my network connection. I like to know what is going on. If there is activity I cannot account for, I get concerned. Call me a control freak. It's why I hate auto-updaters - there is this sudden, random burst of activity for some inexplicable reason. If my system isn't online unless it needs to be, while offline, it's not vulnerable to an external nasty.
Now, if I'm playing a multiplayer game, I'll accept the necessity of an active network connection (of course) but a network connection should not be necessary in any way, shape or form for a single player game. I use Steam under sufferance more than anything else, because it doesn't
force you to always be online; you can still play in offline mode.
As for Firewalls... the only firewall worth using is one in between the internet and the PC - a hardware firewall. Software firewalls are utterly, utterly useless as the threat is already on the system before the firewall can do anything about it.
Let's just sum it up as: I don't trust the internet as much as other people obviously do.