You're right:
If Apple really does require all Watch apps to go through your iPhone, then there can be no direct Watch to Apple TV connection.
My thought was that Tim Cook could've ordered an exception to that rule, if he really loves controlling his ATV from his Watch that much, and doesn't always have his iPhone around
The exception to the rule is for native Apple apps - they don't need a phone connection. Like, playing music or using the stopwatch. No need for a phone.
When the batteries get better, Apple will reduce the necessity of a phone for watch apps to work.