You need to be connected to the internet in order do initial setup.  You could disconnect it after that point, but you would not get any updates.   Also, you aren’t really getting any connected features if you don’t setup any streaming or voice services, but you gain the ability to control the TV audio through the app. Unless you have security concerns about Sonos being connected, I would leave it connected and never use features you don’t want to use.

Thanks Danny.  That’s exactly what I was looking for.