Hmm. Just tried this, and as expected, I can still connect with AV disabled. I'm using build 4.8.1195.
So, in answer to your question, I'd say no.
The absence of security software should not cause XP to prevent internet access. The Windows security centre will pop a warning (in the form of a red shield and a balloon tip in the system tray), but it shouldn't prevent access.
What AV did you use before; what other security software is installed, have you ever had any of those popups telling you you are infected, and need to run "application X" now?