why cant i use imessage without a sim card

iMessage is an internet messaging service. If you are not connected to a wifi network, then you need a cellular data connection. Without a SIM card and cellular data service, in the absence of wifi, iMessage simply cannot connect to Apple’s servers.

With an iPhone, you also need a SIM card and cellular service to initially setup an iMessage account for use on the phone. An iPhone needs SMS texting available to authenticate and initially set up an iMessage account.

I just got a new iPhone SE and want to setup the apps before switching phone service from the 4S. This info leads me to believe that I'll have to sign up for an additional phone line (probably for a month) to do this. Unless I can move the SIM from the 4S into the SE while loading apps from iTunes.

You need to be on Wi-FI to use iMessage.