How does the delivery method change the licensing agreement? If a company wants to screw you with their license agreement the fact that the software is burned onto a CD rather than downloaded isn't going to stop them. The only relevant difference between electronic and physical delivery is that CDs can have some copy protection (generally broken at release, of course). If the publisher wants to require internet authentication, then that’s their choice.
As far as multiplayer or authentication servers being shutdown due to companies folding, although it’s possible, it’ll hardly ever happen. Once a product is being sold online, there’s virtually no cost to keep it selling (unlike stocking 5000 retail outlets), and authentication servers are less expensive the less bandwidth they take (not that they’ll ever take that much). It’s simply unlikely that even with the developer folding that all selling and authentication would stop, since it’d take only a few sales per month to pay for the whole thing. In the end if the game is small, then simply don’t buy it if it’s using a dedicated online authentication system (which it likely won’t, it’ll likely implement a licensed authentication system, in which case you’re fine unless they fold). I have seen this issue forwarded all the time as a reason not to like online distribution, and it’s really stupid since it’s online authentication that’s the problem, online distribution does NOT have to work like Steam. Personally, I’m much more likely to lose or break a game’s CD before the company stops selling the game online, so I’d use online delivery much more if possible (since I could re-download my purchased game).