You need to create shortcuts on your iPhone and tap a checkbox to have them appear on the Watch. So, the action components of the Shortcut need to be either system functions that make sense on both the iPhone and the Watch or apps that appear in both places and have actions that are appropriate to the Watch. For example, I can work with the Autosleep app via a Shortcut (since it is an iPhone app with relevant Watch Shortcut triggers), but I can’t open the Blood Oxygen app (since it exists only on the Watch).
I don’t believe that’s a specific action for opening the control panel, but you can do things like changing the Focus via Shortcuts. If you had to access the control panel before to make changes, it’s mainly a matter of retraining yourself to tap the side button to open it rather than scrolling down on the Watch face. Similarly, you need to retrain yourself to scroll down to access the Smart Stack rather than hitting the side button to access the Dock.
A long thread on Tidbits Talk includes discussions of creating shortcuts for the Watch and organizing the Smart Stack to make best use of them.