When your software installs you need the internet to register your online account and to provide you with the subscription information expiration date, how many licenses the subscription entitles you to, etc.
This is all done to ensure the installation is complete and that you are protected since you now have an active subscription on file with McAfee.
I hope this answers your question
Moved this to General Discussion as a better spot for it.
In all instances, the software actually has to download via the Internet, no matter what method you are using to install and if you read the main product pages the System Requirements always state that an Internet connection is needed.