As for the wi-fi direct, I believe this is for when you are syncing photos or music to the watch. I haven't tried that feature yet so I could be wrong.
It seems to me that if the S2 is connected via Bluetooth, and you have wifi enabled, the S2 isn't actively using wifi (wifi seems to be in standby). If connected via Bluetooth and you go to wifi setting, it says "Connected via Bluetooth", so it seems to work the same way my AW watch does.
I was concerned about it, but I don't think that wifi turned on affected battery while I was in Bluetooth range. I am thinking that having S Voice listening on watch face for voice command turned on in S Voice settings does have an impact on battery, but not sure how much of an impact.Are you getting less battery life with wifi on? I seemed to be but I will try again today.
The WiFi is activated when the watch is not connected, so You can still access things like... e-mail, I guess? I need to check it.
Also it uses WiFi direct to send the files as photos.