Update:
I traded in my S0 for a S3 Nike + LTE.
My streak is still going however I lost over 100 days, I’m back in the 400’s. Bummer.
That makes no sense. The streak is not based on the watch, its based on your activity app on the phone. So the only way you lost the 100 days is if you restored your phone and the health app did restore from iCloud correctly.
Streaks continue if you change your watch, unpair your watch, restore your watch as new and so on. Once its registered on the phone (activity and health apps) then it remains.
I have had multiple S0 watches over the last 2.5 years (AC replacements) and now an S3 and my streaks are fine.