I've just had the problem of moving from my 6 Plus to 6S Plus. Due to another issue, the new iPhone has been setup as new. This means that there isn't a backup from the watch and I've lost all my data. 🙁
Hopefully Apple will sort it so that the Watch backup is "app data" in iCloud or iTunes like any other app's data, and therefore can be restored from iCloud or iTunes via an iPhone independently of a full iPhone backup...