I'm pretty sure the Spotify limitation is due to Spotify and not Apple. Other apps like overcast can download to audio to the watch and play without a phone.
To be clear - I'm talking about playing audio in the background, like Apple Music. That, as far as I know, has never been made available to third party app developers. And even if Apple has finally allowed Spotify the Great Privledge of joining Apple on it's playing field, it would have taken multiple years of complaints and hypocrisy from Apple to get there.