I contacted Apple Support and ended up directly with the Fitness+ team. It appears that the problem was one that had yet to be reported but on an investigation with colleagues it seems that others had the Audio Meditations missing.
The fix was to open Fitness+ on the iPhone and start a meditation. A message briefly popped up regarding proceeding without the Apple Watch but the message was fleeting and it seems to have forced a connection to the watch. After that Audio Meditations appeared in the Mindfulness app on the watch.