EU volume limit on Apple Watch / AirPods combo
No, you're not missing something obvious. At present there is no way to do this within watchOS (as of v4.3). 

While Apple hasn't officially commented on whether it's a feature that may be added, it's probably something that will eventually come since the Apple Watch will continue to develop as a standalone device.

In the meantime, Apple states:


  Hearing loss  Listening to sound at high volumes may damage your hearing. Background noise, as well as continued exposure to high volume levels, can make sounds seem quieter than they actually are. Turn on audio playback and check the volume before inserting a Bluetooth connected headset in your ear. For more information about hearing loss, see www.apple.com/sound. 
  
  WARNING: To prevent possible hearing damage, do not listen at high volume levels for long periods.”


Source: Apple Watch User Guide