The data is always cached locally (apart from the image for some reason). This is the contents of the dvdinfocache folder.
What happens is when you open the My DVDs page for the first time since Media Center was started, all of the folders are read (in addition to the changers and physical drives). For folders, where a dvdid.xml file is found, the dvdid is extracted from the file, and the corresponding xml file is read from the cache if it exists. If it doesn't exist, it is grabbed from the server if there is a match for the dvdid and stored in the cache. If not, the volume label is displayed instead.
*EDIT* What my program does is do the grabbing if the dvdid can't be found (for example you are using a region 2 disc and region 2 discs don't appear to be in their database). It does it by allowing you to search by title instead of dvdid, and then links the resulting data to the dvdid actually found. This can be different from the actual dvdid if you are using software such as AnyDVD on your system, as this changes the dvdid.
To get to the next page in the app, once the dvdid appears in the small dialog, click Search and you will get the same page in a larger window that you would get in Windows Media Player if you tried to get DVD information in there.
Cheers,
Andy