I haven't tested all of the difficulties but I confirmed that on Normal and Challenging difficulty they AI does start the game with a path, allowing them to get a second path at level four. This is well known.
A lesser known cheat is that the AI sometimes spawns Gold Mines and Apiaries next to their capital city on turn 2. This is a big advantage and should not happen on normal difficulty.
The extra path is really annoying because it would be very fun for me as a player to have 2 paths early on but there is no way to do that, even with cheats as far as I know.
Anyone can easily see this behavior by starting a brand new game, using the Ctrl+U cheat to reveal the map, and watch the AI settle their first cities and look for new map features.