That's very strange. I'm too lazy to factory reset the Sony tv I bought this year to try it, but here's a link to a "q and a" from Best Buy saying someone set up my model without Internet during a hurricane, and Sony themself indicating it works without Internet.
https://www.bestbuy.com/site/questions/sony-77-class-bravia-...
So assuming you are software savvy enough to not have missed the correct prompt, I have to assume there was a bug with the firmware version you recieved.
Some people like my 92 year old Grandmom don't have internet, and it would make no sense for Sony to have to deal with returns from them.