If you take the watch off and unlock it with the passcode, then it will stay unlocked for as long as you are using it and the screen is on. It would seem pretty silly for you to be in the middle of doing something and all of a sudden have it request your passcode again. As soon as the screen turns off and it goes to sleep then it will lock again and request your passcode the next time you wake it up.
Or are you suggesting that once you unlock it with the passcode you can put it to sleep and wake it up again without it re-requesting the passcode. That definitely shouldn't be happening.