As an alternative it can also be done programatically following this link
$AllowInternet = False
Or to the frontend
You can use:
CurrentValue[$FrontEnd, "AllowDownloads"]=False;
to disable the "Allow the Wolfram System to access the internet" preference.
Update
Wolfram support presented yet another solution
Configure your machine to disable internet access to the Wolfram domains:disable internet access to the Wolfram domains.
https://support.wolfram.com/kb/12409
(though this link does not work as of today!)