That not the reason I will (and my wife does) lock it*. It's the same reason there's a lock code on the iPhone. Having someone look at my watch wasn't even a consideration originally.
(*thought the OP was saying to keep someone from "looking" at the watch display, but it's obviously a typo)
So, two reasons to lock the AW: First, it's an activation lock. Second, Apple Pay requires it (which makes sense).
Also, if you unlock your iPhone, it will unlock the Watch (we noticed a slight delay, but nothing that would affect actual use).