Apple Watch and sms messages

See the footnote information from this support document, How to use your Apple Watch without your iPhone nearby - Apple Support

1. To receive SMS, MMS, or push notifications from third-party apps on your Apple Watch Series 4 (GPS + Cellular) or Apple Watch Series 3 (GPS + Cellular), your paired iPhone must be powered on and connected to Wi-Fi or cellular, but it doesn't need to be nearby. You also need to be signed in to iMessage on your iPhone.

As you have said, you have "cellular data". But SMS needs to use the cellular voice signaling packets to piggyback SMS message on top of.

Since you have a cellular data service, you do not have those voice signaling packets to layer SMS messages on top of.

So the Apple Watch needs to be able to find your iPhone so it can use the iPhone's cellular voice radio. If your Apple Watch can find your iPhone via Bluetooth, WiFi, or via the cellular data connection, then your Apple Watch can send SMS.

Otherwise, you can only send messages that are internet data based.