Yes, you set it up in the Health app on the iPhone, but it's the Medications app on the Watch.Tried it out this morning. I find it odd that notifications show up with the Heart icon on the phone and Medication icon on my watch. I set the notifications to Persistant to be certain it would not go away before logged in . I'll have to wait until tomorrow to see how that works out .
Long gone are the days when one could expect any consistency from Apple.
Having manually entered all my meds and set up times etc, not a peep from either iPhone or Watch to remind me to take them. Maybe I've not set something, but it's all a huge faff to try and make use of this latest feature.