Hello Magilb,
Thank you for using Apple Support Communities. We'd like to help answer your question. If your Apple Watch isn't nearby your iPhone but both device are connected to a Wi-Fi or cellular network, then both devices will receive data such as iMessages. For SMS messages, this resources explains more: Use your Apple Watch without your iPhone nearby - Apple Support
To receive SMS, MMS, or push notifications from third-party apps on your cellular Apple Watch, 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 to use Messages on your watch.
We hope this information helps out. Thank you for using Apple Support Communities. Take care.