Some of the more advanced features in PTM need internet access.
For example, the default backgrounds are not all shipped in the download when you install PTM on your own computer. This is to make it a smaller and quicker install (we assume that you have internet if you are installing it!). When you first access a new background it will download it from the pokerdiy.com server (all in the background, you may not even notice).
Another example are the talking announcements. If you are connected to the internet then PTM will announce dynamic messages like “The blinds have gone up to 150 / 300” (or any amount you have specified). This is because it is hitting an online web service (Microsoft Translator in this case) to translate and encode the text. We could not store every possible variant of blinds/break durations of course! If you don’t have internet access then it will just say “The blinds have gone up”.
So if PokerDIY asks your Firewall to use your internet connection, don’t be scared – we are not doing anything dodgy – it’s just trying to access advanced features for your benefit.