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Why do they need an Internet connection at all? Even if they do need to be connected to the Internet, why can't they connect through NAT?

Because NAT is a hack to cope with IPv4 address space exhaustion. The main benefit of using IPv6 is that it allows you to get rid of NAT.

That might be, but it's a hack that works pretty well on a lot of real-world systems.

If you think that, you've not read the details of any NAT traversal schemes that aren't uPnP.

NAT is a hack that was created due to a lack of addresses.

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