Currently it is just works from a phone or pad.
It was confusing though as i got the message for the approval on the watch and also the option to approve it. But i was never able to approve it.
I talked to Apple support and actually it should not ment to be working on the Watch anyway.
The bug was, according to Apple support, that the message showed up on the watch in the first place!
And since the latest updates on phone and watch, i do not get the message on the watch anymore.
However, i am still hoping that the functionality will work with a later update, because the mechanism is basically working. Currently not for approvals, but it is working for the second factor: To login to this website (with password) I was asked to approve the login and that message showed on my watch, together with the option to allow access. After successfully allowing the access on my watch, I even get the 6-digit-number on the watch that i need to logon to this website.
So basically a similar mechanism that would be required to approve family requests.
So APPLE, lets do this :) We need it