If you mean your friends have not contracted with their iPhone carrier to activate the cellular features, then they would be using their cellular Apple Watch as if it was a GPS only model.
If they have activated cellular and are paying their iPhone carrier a monthly fee for the service (say something like $10 per month), then they can be on cellular when away from their iPhone.
If both the iPhone and the Apple Watch are on the same WiFi network, it is possible for them to stay in touch via WiFi.
Bluetooth Connection to iPhone

WiFi connection (iPhone may or may not be in the picture)

Cellular Connection

Since you have GPS only model you will not have the cellular icon

Now check your Apple Watch and your Friends when you say they are connected and you are not.
Also a lot would depend on the location of their iPhone and their body when across the store vs your iPhone and body.
If your locker or where every you keep your iPhone has more metal, water (like hot water heater), and other objects between you and your iPhone that do not exist for your friends, that can affect their Bluetooth connections vs yours.
Also older Apple Watches older Bluetooth chips that are less range capable than newer Apple Watch.
Older iPhones have Bluetooth chips that are less range capable than newer iPhones.
If they have newer equipment, they may have better Bluetooth chips that give better range.
When dealing with radio signals there are many MANY factors that affect performance.