If you are not registered in Active Directory, you cannot access the internet?

Hello

Here are some of the authentication methods: Sophos Firewall: Authentication Methods - Recommended Reads - Sophos Firewall - Sophos Community

You can create a firewall rule that once they have logged in they will be able to connect to the internet or for seamless connection I would suggest looking into STAS authentication 

Let me also share with you the kb-article regarding the configuration of the Active directory with Sophos firewall: Configure Active Directory authentication - Sophos Firewall

Let us know if this works