Right. I have an autosetting G-SHOCK Casio. It does not select the timezone; you have to do that manually. It cycles through a list of airport codes (LAX, DEN, CHI, NYC, CCS, LON, etc.) to pick the timezone. It also has the option to disable daylight saving adjustments, which I have to do in Phoenix.
Essentially it gets the time in GMT from the time source and adjusts it for the selected timezone.