In the last few days Apple released 14.4 to the public and 7.03 to the public, if you have these updates installed you should find the volume is no longer decreased, though you will still receive the notifications.
If you have already installed these updates and it it still happening then depending on which device it is the following applies...
iPhone: Go into settings, bluetooth, scroll down to your connected headphones (bluetooth device) and tap on the little i in a circle symbol, from there you should be able to see a menu which allows you to classify the type of bluetooth device...options availiable are speaker, headphone, other etc.
If your headphones are third party, i.e not Apple branded, then you can simply re-classify your heaphones as a speaker or even pick other to avoid the volume drop.
Unfortunately at the time of writing this I believe Apple branded headphones do not allow for this re-classification therefore unfortunately you will continue to see (hear) your volume drop down whenever the volume notification is triggered.
Watch OS: There is no option to re-classify your headphones, however no longer does the volume drop when you receive the notification, you simply are just reminded that your audio is "too loud" whilst not being a perfect solution it is nevertheless a fantastic improvement on having your volume dropped without your consent. If you have Apple branded headphones I can only speculate as to whether you would continue to see a drop in volume performance but I imagine that if there is no work-around on the phone then its a possibility there isn't this work-around on the watch....
If anyone out there can confirm or deny how the Apple branded pods are performing regrds the recent update that would be great.
Hope this helps.