I don't know if there is another discussion, but I can explain them briefly.
Always On - When the watch is on, Bluetooth is on. In Activity - Bluetooth is on whenever you are tracking an activity (Hike, Run, Swim, etc.). Not in Activity - Bluetooth is on whenever you are not tracking an activity (Normal watch mode).
There is also Manual Sync mode, which only turns on Bluetooth when you hold the menu button, and then select sync. This allows you to sync with your mobile phone, but then turns the Bluetooth connection off to preserve battery. Hope this helps!