The Plugwise gateways (Anna, Adam, Smile P1) connect to the internet for a number of things. Examples are retrieving the time from the internet, weather data and using the Plugwise Home app.
You don't have to make any special settings on your firewall on the router to make it work.
Do you want to adjust settings on your router and block almost everything? Then it is good to know that the ports that the gateways use are the standard ports 80 and 443.