An Apple Watch is not a Stand Alone device as you are now aware but, once setup it virtually is. That is, once it is registered via your iPhone to your Apple ID it will Mirror many of the Apps on your iPhone via a combination of WiFi and Bluetooth rather than have the entire application stored on the device such as the Mail app, Weather app, Health app, Translator, iMessage, Photos app, Music app and many third party apps as well.
This increases the functionality of the Apple Watch far beyond what could be provided by a free standing device of this size. I should add this is exactly the same for the Samsung smart watch which like the AW requires a Samsung phone for everything other than basic functions.
Having said that once set-up/paired with your iPhone it is able to perform many functions on its own such as displaying your heart rate, sleep pattern, activity levels, exercise, time, date, lap timer, torch, compass etc.
Doing a search for how to set up your Apple Watch will result in this site from Apple or similar;
Set up your Apple Watch
If the watch is brand new it will probably come with AW OS 8 or 9 pre installed and the first thing you must do is Upgrade the iOS on your iPhone to match that eg. iOS 15.7 or 16.0 this ensures the AW app on the iPhone is fully compatible with the AW.
After that the process is a simple one as described in the illustrated instructions on the above link.
If on the other hand you are dissatisfied with the AW and do not want a watch with these capabilities by all means return it to Apple within the 30 day warranty period.