Well, I disabled my connection to test ... I can open Trainz 22 and 22PE without any problems or warnings, you can even see the DS in Content Manager, but you won't be able to download anything and then the "cannot contact the server" warning appears.
My version of Trainz 19 is from Steam, but I was able to open it without any problems (and it's not in offline mode). Since I'm always online, I've never tried this before ... I guess it must make a "phone home" every once in a while.