30-40 feet from your iPhone (more or less depending on walls, the kind of walls, metal, water, etc... between the 2).
iMessage and other apps that use the internet to message can work off of WiFi. SMS/MMS requires the iPhone cellular radio.
Basically the GPS only model can do Everything the cellular can do as long as the iPhone is nearby
And if the iPhone is not nearby, it can do the stuff listed on this webpage
https://support.apple.com/en-us/HT205547
Make sure you read the footnotes, as there is valuable information in them.
Also this can be useful
https://www.imore.com/heres-what-apple-watch-can-do-without-iphone