It might be a technological issue: standards (GSM, CDMA) and allowed frequencies vary a lot from country to country. The chip in this Apple Watch might be too specific? If it's a purely contractual issue, it should be gone soon (for a fee): too much money to be made from international roaming.
Per https://www.apple.com/watch/cellular/ it's either 2 and 4, or 1 and 3 (and 7). The iPhone 8 supports all [1]. That would confirm that the Apple Watch uses more specialized cellular chips.
That's not quite true, Japan has special 7 models (A1779 and A1785) with support for LTE bands 11 and 21 as well as FeliCa. And the iPhone 6 had the A1633 and A1634 only sold by and for AT&T which supported the LTE band 30 where models A1687 and A1688 did not.
There is some additionally complexity in that many of these can speak GSM, so have some ability to work in degraded modes. And then another round of complexity in that the CDMA versions usually can be unlocked into GSM mode, losing the CDMA functionality but allowing for more general use (but not generally 4G).
