I'm not incredibly technical, but my unsderstanding is that when in sleep mode, the iPod or iPhone maintains an IP connection with the Apple server, which can ping the iPod to download the email in the background, then go back to sleep.
You're probably right that you would have to connect to the network, but I guess the advantage is that once connected, you could put the iPod to sleep, and it would consume less power than it did previously.
I may be wrong though, feel free to correct me if I am!