The question is whether the DMP 4400 needs an antenna to get the wireless working, in the DS doesnt say anything about it and cant find anything related in the DMP's documentation any idea?
Indeed, the DMP 4400G has an antenna which needs to be screwed to the antenna jack in order to support Wifi. The antenna should be shipped together with the DMP.
In order to set up wireless connectivity you can refer to the following documentation: