BPM alerts during exercise
Is it possible to receive a notification when heart rate goes above a certain BPM during exercise (rather than when one is inactive)?
Apple Watch SE
As you have discovered they are the only warnings available.
I suspect the risk is missing a warning and becoming injured and trying to blame the Watch (or the manufacturer)
The Watch should also not be considered a medical device - if you have risks from exceeding a limit then take medical advice but above all keep an eye on your watch during workout. Most healthy people will run out of steam before max BPM happens.