With Xioami Watch S4 you can connect the headset directly to the watch via Bluetooth, maybe this works with this one too?

No, the Redmi Watch 4 does not allow you to set calls to be answered directly via the smartphone and Bluetooth headphones without the watch's microphone and speaker being active. If you accept a call via the Redmi Watch 4, the call is handled via the watch's integrated speaker and microphone, unless you use a connection with Bluetooth headphones, which is then routed via the watch itself and not directly via the smartphone.