It doesn't happen if you use a local account but you can login to Windows 8 using your Microsoft account (from Hotmail or whatever). Of course they store those credentials on their servers.
That seems like a very odd system but a good way to snoop and see who is logging on to a particular computer at a particular location. I can't imagine how this would benefit the user experience one little bit though.
What happens if you've lost internet access? (Internet outages happen!) Can you no longer log in to Windows?
It seems convenient on the surface but I can think of many ways it's a really, really bad idea: third party snooping, the possibility of being locked out of your own computer if your Microsoft account is deleted/deactivated/password changed, possible expiration of cached credentials (and therefore inability to log in) during a protracted period of internet unavailability, etc
