Actually, it's exactly so. You say you don't know/care how it works, but you seem to think it's some kind of magic. It's not. Pedometers can only sense a step if the body part they are attached to makes a movement that indicates the step. The hip is directly involved in the leg movement of making a step. The wrist is not. This is why pedometers were traditionally (not really the right word, but you know what I mean) worn on the hip (belt or pants pocket) or the foot - both are used in the action of stepping. This is also why, when wearing the AW on your wrist, putting your arms on your sides or in your pants pockets gets very accurate results - you're pressing your hands to your hip bones and/or pelvic bones, which move with each step.
Because the AW can sense motion on multiple planes, you can have your wrist in different positions and it can still detect the motion that your wrist makes when you step (aka the "arm swing" that may not be an actual swing, but rather a bob or tilt). This is why it still works when your hands are in your waist-high jacket pockets or caring a bag. But here you may see a decrease in accuracy, as some people actually don't move their upper bodies much when they walk, so if their arms aren't hanging by their sides, the wrist movement *might* not be enough to register.
If you do some searching, you'll find that all pedometers out there have that same limitation - if they are attached to a body part that's not moving or is fairly stabilized, like the wrist when pushing a cart or stroller, they cannot detect steps.