Watch sensors
The readings the watch reports, which are a different set from the phone.
The watch reports its own sensors, enabled separately from the phone's. Turn them on in the watch app's settings.
Battery
Charge level and charging state of the watch itself.
Health Services
Wear OS exposes health readings — heart rate, calories, steps, distance, floors — through a system service. The app can report them to your home if you grant the permission on the watch.
These are health readings. They go to your own home server and nowhere else, but consider who else can see that server before turning them on.
On-body detection
Whether the watch is currently being worn. Useful for telling a sleeping house from an empty one.