No, that adaptor is only if you want wireless. I dont have the adaptor and I play online just fine. You just hook it up with the Ethernet cord. If you dont have a long one, you can use your laptop to set up wireless connection.
Also, alot of people want backward compatability. There were lots of complaints this last christmas when parents realized they couldn't play their older games on it. I wanted to trade my PS2 in so that i can save money on PS3, but since there's no backward compatability, I couldn't.