Pretty sure Apple doesn't expose the correct APIs to allow this on the GPS model of the watch - at least that was the case when I last researched this.
I searched a bit - I think you're correct, and also offline support looks to be in beta in the Swedish version of Spotify, so maybe it's actually coming at some point.
I'm referring to streaming via cellular. Not sure about playing offline via non-cellular though, I haven't looked into that.