I changed which album in the Apple Watch app I wanted to sync with the watch for the watch face. It still is using the old photo-album. I am getting a new phone today so won't worry about it, but it seems like a bug that would require a re-pairing.
Same issue here. I re-paired and set photos to sync with an empty album, because I don't really use this feature, so not sure if it's solved... (WatchOS 2 and iOS 9.1b2)