As with anything, wearing a watch comes with some unwritten rules and advices.
I like to compare it with clothes. Sure you could go everywhere in your pyjamas. But you mostly don't because clothing in society comes with some rules.
You may break them, and more power to you if you do and if you're feeling better that way. No one has a right to tell you otherwise because ultimately we're talking about things that don't really matter.
But that doesn't mean those rules and advices should be disregarded, especially if you're starting to learn about a hobby.
Yes, if you have a small wrist, you might want to wear smaller watches. That's the advice, and a good one because it will most likely suit you better.
As the saying goes, you don't break rules before understanding them.
Look at the Casio Oceanus line.
Ultimate GADA watches.