I don't think you understand what I said which is sideloading of an Amazon purchase using the download USB option from the Amazon website such that it is has DRM. Most people are probably sideloading Amazon purchases that have been Alf'ed and no longer have DRM.
Also I have a Kindle Paperwhite 2, and I am reporting what the message says through direct experience. When you click the check box to add a sideloaded book without DRM to a collection the message has nothing to do with connecting to WiFI. The message is that this book will not sync with the Cloud. Makes perfect sense since you did not purchase the book from Amazon and therefore it isn't in their Cloud so they aren't going to track it for you.
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