iOS 14 (and watchOS 7) are already in beta; has this feature already made it into that?

Even if that's added in watchOS 7 (which is what I'm guessing you meant, not iOS 14 alone), what would be required is a software mechanism to alert the user below a particular threshold. Given Apple's history, I doubt if this feature would be enabled for currently sold devices even if the hardware supports it. Apple may have its own reasons not to support certain features available in hardware, including reliability factors, and not just profit motives alone. So I'm kinda doubtful of the feature being enabled and working as the GP described in the devices being sold now (before new versions arrive later this year).

I read that PulseOx readings on watches are unreliable, and the ones that measure your finger are much more accurate.

Would that still be true of a more expensive device, like the Apple Watch?

Which model?