It uses remote connection and sends the message from the phone, I assume. Calls can't be routed that way since they can't be routed as data through Samsung's servers.
You can actually initiate a call from the phone under remote connection. That's what happens when you turn on call forwarding. Your watch sends a signal to the phone, which dials the * code and hangs up (you can do this remotely). But the call happens on the phone and the audio isn't routed to the watch. In theory it's possible, but there must be some limitation right now.