Both connection modes are available
The Apple Watch and iPhone connect via Bluetooth and Wi-Fi. When you first pair your Apple Watch with your iPhone, they establish a Bluetooth connection.
This connection ensures that the data transfer between the two devices is secure and private.
At the same time, to ensure that the two devices can remain connected even at long distances, the devices can also be connected via Wi-Fi.
For that matter, the Apple Watch SE can connect to Bluetooth and Wi-Fi networks. It can be paired with an iPhone via Bluetooth and connects to the Internet using Wi-Fi to receive notifications and use apps while away from the iPhone.
When the iPhone is not around, the Apple Watch se needs to open the Wi-Fi setting for manual connection. When the paired iPhone is around, as long as the iPhone is connected to Wi-Fi, the watch will automatically connect without manual connection