Ugh. My installation seemingly went OK, but now Calendar isn't syncing. I tried resetting the Watch, unpairing it and re-pairing it, and even setting it up as a new Watch. Nothing is getting my Calendar entries to show up on the Watch.
Update: It's my employer's security profile that's causing the issue. I uninstalled it, and my personal calendar synced just fine. I guess for now I'll just make do with my iPhone calendar until our IT department sorts out iOS 9. Our profiles limit sharing of data from our Exchange server to third party applications. It was set to allow calendar sharing to the Watch in iOS 8. I guess iOS 9 or Watch OS 2 changed things. Oddly, other things work, including email.