re: Apple Watch cellular, couple of questions…

Regular apple watch and apple watch ultra will connect to any bluetooth headphones and/or bluetooth HR strap, etc. It's just that if you have a 3rd party bluetooth headphones, odds are you'll have to manually pair them each time. Airpod pros are just a bit more seemless.

However, I have to do this a bit anyhow on my watch ultra as when I'm at the gym and start a playlist from my watch, the watch/phone/headphones all get wonky on who should be the streaming device. I have to go in the settings and modify all the time, no biggie.

As for holding up, the watch itself *should* hold up but depends what your doing. I cracked my old Apple Watch 6 screen doing cable chest fly's and the cable pressed the screen and cracked the hell out of it. On the apple watch ultra, it barely even glosses over it.
The Ultra is a beast but also pricey. The regular apple watch should do you just fine unless hard surfaces are involved (weights, rocks, pavement, etc)