Out of curiosity, did you lose your Health data too? It seems like you would lose that as well, since it does not link to an iCloud data store.
Yes the Health data went too. Considering a factory reset and new phone is a cure-all problem to a lot of phone drama, don't expect all this health and activity data to last forever unless they work out some secure backup (with consent?) feature.
Watch for an Activity. Garmin via the RunGap App counted Exercise time and Move calories to my Rings/totals.