In English, the present perfect (have watched) is not used for a specific point in time (on Tuesday). The passato prossimo (abbiamo guardato) in Italian overlaps with the simple past (watched) and present perfect (have watched) in English, but both options don't always work in every situation.
I agree -"what have we watched" is the same wording in Italian, but adding "Tuesday" makes it a bit weird to say "What have we watched on Tuesday" in English. Note that the "simple past" is actually the passato remoto (remote past), not the passato prossimo (present perfect- like "ha guardato"). The passato remoto is a simple tense because it only needs one word, whereas a compound tense requires an auxiliary (helper) verb (essere or avere).