This is by Operating System Design.
An Internet connection is required when using "Cloud Download" option to recover Windows.
When executing "Cloud Download" to do recovery from the Recovery/Reset this PC. In case of connection via wired LAN, this device driver has installed in the Windows recovery environment and could able to perform this kind of recovery by cloud service. But in case of connection via wireless LAN, this device driver hasn't installed in the Windows recovery environment the and it cloud unable to use cloud service.