Yes that could be the case, it requires internet access.
Let me get in touch with our products team and find out more technical detail on this.
I will update you shortly.
Please mark the appropriate replies as CORRECT / HELPFUL so our team and other members know that your question(s) has been answered to your satisfaction.
While it should in fact come up with a "graceful" error message if it can't connect to the server instead of an endless spinner, it's still a good assumption that this is because of your marshalled internet access. If you have ways or can ask your admin to white-list domains, the domain Qlik DataMarket uses is: datamarket-api.qlik.com
I hope this helps.