WhatsApp requires a linked phone for cellular communications. The Watch app allows you to use it without pulling out your iPhone, but it still needs to be within Bluetooth range. That is similar to how SMS messages works, where you also need an iPhone within range. With iMessage, it just needs a data connection over cellular, so the phone is not necessary.
The difference is the bands that cellular providers use.
- The "voice" band is used for SMS and phone calls. WhatsApp uses the "voice" band.
- The "data" band is used for internet connections. iMessage uses the "data" band.
- Cellular providers add a "data" plan to wearable devices, which is why the Apple Watch does not have a phone number where you can use that number to make/receive phone calls. To use the "voice" band, that is done with the linked iPhone.