This is based on the rights that we have with the different content providers. Therefore there are different shows that will work anywhere but others which will only be available in your home wifi.
The main benefit of the app is also that you can record through there if you need to if you have not set this up before leaving the house.
Also I actually use it as a 2nd remote at home as you can push the channel to the TV.
If you have paid content through Sky then there is more that you can watch through the APP.
Hopefully this answers your question.