In my experience (T Mobile) there is definitely a difference. The newer phones all have Band 71, while the watch doesn't yet. That is one of the bands that T Mo is using to offer broad coverage, so in fringe areas, you will notice a difference. I'm not as sure with ATT/ Verizon, but I do know that they both bought large chunks of C block cellular bands to deploy, and that the watch also doesn't cover those. Also, the watch is LTE only, so you don't get the efficiency gains of 5G (less people fit on each channel) so you could experience areas where your phone would get a call & the watch wouldn't.
All that being said, it's amazing to me that the cellular watch exists at all. It's been very good for me. Not amazing, but good enough enough that I don't mind leaving my phone at home if I'm going out & it will be inconvenient to carry.