Built-in GPS means the watch records your route itself, using satellites, instead of borrowing your phone location over Bluetooth. That is the difference between running with a phone strapped to your arm and running with nothing but a watch.

It also makes the data better. Connected GPS depends on the phone staying in range and awake; onboard GPS tracks continuously, so pace, distance and elevation are measured rather than estimated from step count.

If you only walk and want step counting, you do not need GPS. If you run, ride or hike and care about accurate distance and route maps, it is the feature that matters most.