Apple announced that three new Apple Watch models coming out in 2022 will use a built-in GPS sensor and will no longer be dependent on the iPhone. However, older Apple Watches will still connect to the iPhone when it is available to search for a GPS signal.
This is explained on the latest Apple support page. They say, "Watch Ultra, Series 8, and SE (second generation) will use the built-in GPS, even when your iPhone is nearby." However, this does not apply to previous models, in order to "save battery".
The Apple Watch has actually had its own GPS sensor since the second generation arrived six years ago. However, as mentioned above, the new Apple Watch will use the GPS sensor if there are no other connected iPhone devices in the vicinity.
Actually that's not surprising for the Apple Watch Ultra model which has twice the battery capacity, but for the Apple Watch Series 8 and even the SE 2 it is quite questionable. The last two models don't have much change from the previous generation.
