afaik, this option is only available if the iPhone is disconnected from the watch. If it is connected, then the voice always comes from the iPhone (or from any audio device connected to the iPhone, such as airpods) - assuming the voice volume is set correctly in the iPhone settings.
However, if the watch is disconnected from the iPhone, and the watch only has GPS (not cellular), this drastically reduces the functionality of the maps app on the watch, as it cannot get directions unless the watch can connect to a known wifi network.
I wish one had a choice to have voice come from the watch or from the iPhone. If anyone knows how to do this (without disconnecting the iPhone from the watch) I would sure like to know.