The claim is greatly exaggerated. Online Play Dreamcast is the first console to contain a built-in modem. Developer Team 17, which is porting its Net-playable PC game Worms Armageddon to Dreamcast, says Sega is disorganized and confused about online gaming. Playstation 2 will not include a modem. Nintendo at one point said that Dolphin would, but now wavers on the issue.
Online gaming is, so far, an exclusively PC phenomenon.
For someone contemplating the purchase of both a next-gen console and a DVD, that may be a compelling proposition. Nintendo has decided that keeping its system's launch price low is of primary importance, even if that means it can't play DVDs or audio CDs. So you'll have a choice. It would be trivial to make such a system play movie DVDs and audio CDs. In sum, as graded on pure technology, Playstation 2 clearly beats Dreamcast.