See the SketchUp 2021.0 release notes section “Live Component Configuration” that explains that LC configuration is native to SketchUp 2021 and higher.
So the quick answers to your question:
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Yes with SU2020 you must configure in 3DW.
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No, with SU2021+ you can d/l and configure within SketchUp
and re-configure anytime by double-clicking LCs.
Live Components are still a cloud-driven feature. You need a “live” internet connection to drive the configuration dialog. Viz: