Ok, as a warning to everyone. Never, never, ever instruct UPS via their website once it gives you an estimated window of delivery for the Apple Watch, and you realize you will not be home during those hours, to keep the package at the main local distribution center for pick up once it arrives in town. Even though this is where it would usually go the evening after a failed attempt at delivery, Apple - as I now have been made aware - will see this online change as a security issue and will initiate a Return to Sender on the package within an hour without even contacting you or evidently explaining this policy to UPS.
Yes, you probably can guess the first two words that came out of my mouth when I suddenly got a notification tonight from the Deliveries app on the eve of delivery that "as requested by the sender, the package is being returned. Contact the sender for additional information."
Even the people at the Apple call center were perplexed by the request. (One still needs to bring photo ID to pick up a package there - a UPS policy plainly written on the website - so the chance of someone successfully impersonating the receiver is not high.) Now I have to wait till it goes back to the warehouse for them to reship it. The service rep said that to be safe in the future I should clear changes through Apple first.
Live and learn.