In order to add, remove or modify a NFZ you need to change its coordinates in the file residing in the drone -each NFZ is defined by a latitude/longitude coordinates and a radius-.
This can only be done through internet. You need to update the software. DJI can add any NFZ at any time -for example in case of a forest fire fighting operations, sport events, etc.- but as for your drone it will become effective only if/when you update its software.
Nobody is coming from planet Mars and modify your drone software without internet connection.
For sure if you are in a NFZ the drone will NOT take off.
If you try to enter a NFZ from outside it, you get a warning message and the drone will stop short of the NFZ.
If you lose GPS while flying toward a NFZ the drone will enter it. If it gain GPS signal while inside the NFZ it will land. You should have the control of it during landing. At least this is what DJI say.
Off course, if you prefer to believe in wrong certitudes you can happily continue to do so.