Funny thing: on your screenshot, it looks like the Play Offline button is greyed out. But it's just a visual thing and you can totally click on it, right ?
Yes, I'm pretty sure its just because if you hit enter on that screen, it assumes and selects the Play Online button.
Play Online is actually a relatively newish feature as far as I understand. Multiplayer only came around earlier this year, before then your save was only offline.
Grim Dawn has one major issue IMO: it overuses passives and semi-passive abilities. When I play an action RPG, I want to actively push different buttons to do different things instead of optimizing my primary attack to do a bit of everything.