Apple Watch serie 7 purchased in EU doesn’t work with celular in USA

Yes, the Apple Watch is optimized for use in the country of purchase, and not all models work in all countries or regions, due to the different built in hardware, that has to support the local carriers.

Apple Watch - Carriers - Apple

Also, the warranty can be restricted by Apple to the country of purchase.

Correct.

EU watches cannot connect to US carriers and US watches earlier than the 9th generation and Ultra 2 cannot connect to EU carriers.

Differences in bands and hardware prevent this.