Oh, great - thanks guys. I was wondering if the battery was capable of handling cell-always-on, but sounds like the OS is smart about only turning on the radio when necessary.
Here are the three states. Connected to iPhone, lost connection with iPhone/wifi, turns on cellular. There is a fourth state of wifi but I didn’t post a picture of that.
I usually leave it on all the time, as others have said the OS manages it very well.
However if I purposely go out for the evening without my phone and notice that my watch has low battery, I will selectively turn it on when I want to check messages or text someone. It’s a nice trick to extend the battery life if you don’t mind being unreachable.