What should I consider when buying an Apple Watch Series 11 abroad?

Warranty is country specific. You would have to pay for what would normally be warranty repairs, or travel to country of purchase.

Not all countries allow the same features. If you decide to buy in another country, make sure the features you want/need are included with that country specific model:

watchOS 26 - Feature Availability - Apple

Availability of warranty (and non-warranty) service is the biggest issue. Though you can theoretically get it serviced anywhere, in practice, that's not always possible. Feature availability is another issue as some features are reliant on approval by government agencies. Those features will be unavailable on devices sold in a region where they are not approved, even if they have been approved in the country where you intend to use it.

There may also be a tax liability if you purchase a device outside of your country of residence.

Taxes are the largest reason behind the price differences from one country to another.

None of the above. Buy it in the country you live in.