With an iPhone (currently 11.3) there’s an option under Settings / Music / Volume Limit / EU Volume Limit to limit the maximum volume the headphones will produce to reduce potential damage to your hearing. Unfortunately there doesn’t seem to be a similar option on Apple Watch (currently 4.3) when leaving the phone behind. Am I missing something obvious here?
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