Do I need to have the Gateway connected to the internet when I set it up?

It is not required, but it is helpful. When the Gateway is first powered up, it first checks for a hardwired LAN connection and if it doesn’t find one, then looks for a SIM card. If it does not find either, it goes into standalone mode. This setting can be changed by hard-wiring your PC into the Gateway and changing it or by powering the Gateway off and back on, but it is simpler if it is connected to the network during its initial commissioning.