Do Cameras need to be connected to the cloud as well?

The only requirement is that Gateway and Cameras are connected to the same network. Just basic configurations on the camera have to be completed, things like password, clock, image sensor settings, etc. Also if there is a firewall on the local network ensure that there are no security restrictions that can block the gateway to access the cameras on the local network and that the outbound traffic is allowed through port 443 for the gateway, all outbound and inbound traffic for cameras can be blocked if needed though not required.