I tried, Gear S, WiFi off, connected via BT with phone. It worked, loaded pages on Opera.
I also tried, WiFi on, disconnected from phone. That also works.
My usage has been Nil.
Data use on the Gear S, is limited to the apps you use checking in. I did not setup email. Weather is running. After that it is the device trying to maintain a data connection with the towers. I shut off cellular data, because I wasn't trying to stay connected to the web.
I just used it for texts and calls. Turned on data, just when "bored".
SIM card, standalone was worth the Buy! But don't expect an Android Wear device. Close, but not quite.
I don't use it standalone, because I stream music from my SD card over BT to my headset for 7 hours a day. Something the Gear S cannot do.