A: Ever since the advent of Windows 2000, when Windows is installed, all possible files required for any role or feature are copied to disk during the OS installation in the side-by-side assembly folder (e.g., c:\Windows\WinSxS).
This is because all files are copied to disk; thus it's never necessary to insert media to add roles or features. Nor is it necessary to have to reinstall Service Packs if a role/feature is enabled after a Service Pack was applied (administrators of Windows NT 4.0 will remember that painful experience), because when a Service Pack is applied, all the contents of WinSxS are updated, even if the role or feature isn't currently enabled.
The .NET Framework 3.5 (and older 3.0 and 2.0) is made available as an option. However, it's not included in the Windows 8 and Windows 2012 WIM (the file from which Windows is installed), due to the additional size that would be required to include two separate versions of .NET Framework in the install file, which means the older version of .NET Framework is also not copied to the WinSxS folder (which would also have used up more space on disk).
If .NET Framework 3.5 is enabled on a Windows 8 or Windows 2012 machine, the new Features on Demand functionality is used, which pulls the content from Windows Update and adds to the Windows installation, which is why the files are shown to download from the Internet.
Also learn about how to enable .NET Framework 3.5.1 on Windows Server Core Installation