So it does need to connect to a Wifi network....
It doesn't need to be able to connect to an AP to use it for location fixing, it just needs to be able to see the SSID and lookup it's location in the database. So it can get a more accurate position based on several APs, even it it can't connect to all of them, as long as it can connect to one of them.
Other devices use the same service/system besides the EyeFi and they can get data through other sources (say a cell phone tether) and could therefore get a location fix without actually connecting to ANY wifi point, but just seeing the nearby broadcasted SSIDs.