Yeah, also the two sides can exchange (encrypted) notes about their apparent network environment (including their public IP address, as reported by the rendezvous server), which might give them a clue that they're on the same LAN.

Also see https://github.com/warner/magic-wormhole/issues/48 for some discussion about making things work when you're connected to each other but not to the internet, e.g. an ad-hoc wifi network. It doesn't work at all now, but it totally should.