I think "She shouted, "Watch out!"" sounds just fine. There are many variations and depending on the context some options sound better or worse. However, while the second sentence is correct, it sounds very strange. Perhaps someone shouting for water in general is a bit strange (haha unless it's an emergency).

You could say 'He shouted to me to watch out' and 'He shouted to me to bring the water'. It's a little awkward, but it's possible.

It's possible to use "shouted" but I'd sooner use a different reporting verb. She warned us to watch out. (But this lacks the urgency of "shouted to".) She demanded water. She demanded that I bring the water. She called for water. ("She shouted for water" is also fine.)