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I don't know ADO.NET so you are the winner here :-). But I'll bet that is not as easy as with foxpro local data engine.
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Well unfortunately, you would lose that bet. Datasets and associated datatables are very easy to work with. True - VFP has an integrated language and data engine - and that does translate into some ease. However, that ease does come at the cost of being locked into a specific implementation.

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My opinion is that, whenever is possible, saving static or often used data locally and use this data to increase UI responsiveness an functionality can make applications better.
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In many distributed scenarios - the notion of static/local data is not feasible.

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We can see this approach in many places. What would be IE without local saved internet files and content?
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You are talking about cached data - which is not the same thing as local data storage. You don't need a data engine to cache data.