I'm in the same boat, on One NZ and the latest iOS and watchOS (Series 10 Apple Watch). It's been like that since I got the AW on launch day though.
If I'm away from my phone, usually I glance down at my Watch and it has the red X/cross at the top of the screen to show that it's not connected to anything, and then I have to go into the Control Center on the Watch to refresh the LTE connection.
Definitely won't be purchasing the LTE version of the Watch again as it's been completely useless unless my phone is right there (which defeats the entire purpose of LTE).