Does the microSD card required?
No.
What is it used for? Is it required for the Internet connection or just a feature so I can store data on it?
Yes, exactly!
[EDITED] Just a feature to store data on it, not required for connection. Every USB - Modem has a small Flash memory to store the driver needed for Windows / MacOS installation. That is why the microSD slot is not "needed" at all and is just a feature ...