It seems that steam is a bit temperamental when it chooses to play certain games in offline mode. When playing Deux Ex HR the other week, it would sometimes start the game up no probs without an internet connection, then other times it would throw up the error messages about not being online. It does seem you have to have an active internet connection the first time you start up steam, then you can choose offline mode, or restart steam without a connection. I guess if you rebooted your pc, it would throw up the error message again until you get a connection.
Stats and achievements on Deus Ex still worked even when the dongle was disconnected. Steam just updated them when it sensed a connection.