Apple Watch Ultra 2 from USA in Europe

Differences in Watch functionality between countries depends largely upon if it is a cellular or GPS-only model, and then to the degree your iPhone and Watch work with the cellular services in the places where you are using your hardware. This is discussed in this topic --> apple watch outside of US - Apple Community

Check the list of Apple Watch carriers provided in this page --> Apple Watch - Carriers - Apple

"To cover the LTE and UMTS bands used around the world, there are two separate cellular models for Apple Watch Series 9, Apple Watch SE, and Apple Watch Ultra 2. They have been optimized for use in the country of purchase, and not all models work in all countries or regions. There is no single model that supports cellular service worldwide. To see which carriers in your country or region offer cellular service for Apple Watch, refer to the chart below."

Click on the link to read more.

Another factor worth considering are warranty restrictions:

www.apple.com/legal/warranty - follow links to your device, then country

"IMPORTANT RESTRICTION.

Apple may restrict warranty service for hardware products to the country where Apple or its Authorized Distributors originally sold the device."

The oxygen sensor will not work, as Apple had to disable it on U.S. models. Taking it to Germany will not change that.

I have just bought an "Watch Ultra 2" from Best Buy NYC and it is fully working in Türkiye with Turkish operator. O2 sensor works as well.

I think you are correct. The latest range of Apple Watches (Series 9 and Ultra 2) are the first with a worldwide technical capability. The constraint will be getting the eSIM accepted and activated by a network outside the original region where the watch was sold, and away from your main residence. The north European networks are very professional and skilled, so I don't think this will be a technical problem. The real problem might be getting a monthly post-paid service plan and credit checking where your history is probably in USA. If you want to be sure, identify your preferred network and send an email with the question - something like "I will be coming from USA with my Apple Watch Ultra 2 model Axxxx will you be able to activate the eSIM on your network?"

Good thing