WiFi Calling basically works like a VOIP service. Your phone connects to a website owned by the cellular provider and streams your audio to them, then they route it to the other caller like normal.
WiFi calling is good for privacy because it allows you to make calls without connecting to the cell network. When you are on the cell network, your location can be tracked using triangulation and thus you will want to keep it off (Airplane Mode) when you can.
When you use WiFi calling, your cell provider will see the IP you are connecting from. If you're using a VPN then they will only see the VPN IP address. Also, their web server likely uses encryption. If it does, then only the phone company can hear your calls. If there's no encryption, then the VPN or ISP will also be able to listen in. You could probably test whether WiFi calling is encrypted using a tool like Wireshark or you could maybe just ask the company.
All of this should also apply to SMS texts sent over WiFi as well.