That's what I was thinking at first, but then wouldn't you need the app to pair the watch? I honestly don't know, but I figure that could be the reason.
My guess is that the app is vital to the pairing of the watch because there is much more present than a simple bluetooth pairing.
I'll wager that the watch can only be paired to one phone at a time and is done so in an Activation Lock-style way - that is to say, if someone steals your watch, they cannot simply wipe it and activate it on their phone. This is very important for Apple Pay as well.
Then there is the configuration and management of the watch from the app, which probably has a decent amount of complexity that they want to step you through. Handling all of this through a single app/experience makes more sense.
Pair it in Settings > Bluetooth, then wait for this app to appear somewhere on your home screen, go find it, launch it, and follow directions there.
vs.
Open app you've been staring at for a month > tap "Start Pairing"