This is a very tricky issue that I've ran into as well. If you're using defaults to save the settings state or something like that, be aware that the defaults on the watch can get deleted after the reboot, for who knows what reason. Best speculation I've ran into so far is that if the watch is locked, and the app is ran in the background (due to it being in the dock or on the complication) the defaults are encrypted and not accessible to the app while the watch is locked, and that can cause an issue once the watch is unlocked, and the app is manually started.
What I did to get around this is to save the settings not just into defaults, but also into a plist file. So then, when reading them from the defaults fails, I also attempt to read them from that plist file. This seems to work well.