when has anyone had band in the box use the internet

obviously i must be missing something

This refers to where the audition files you decide to play actually reside. The program can, in other words, use either files that have been installed on your computer during installation, or in these specific cases, look for these same files in PG's own online archives and play those by streaming. The actual resulting file/audio that gets played is (almost) always the same.
This is mainly useful for users who are concerned about their local disk space or file cluttering.

EDIT - p.s. I myself always use that "Use Internet" option where available, but of course to each their own.