I've discovered that if you have work email on your iPhone, through an Exchange account that requires heightened passcode protection (i.e. 8 digits which have to be entered every time), this feature will carry over to the Watch.
This means the passcode option on the Watch is overridden, and I have to put in my 8 digit passcode every time I want to use the Watch.
This is obviously a massive pain considered how small the keypad on the Watch is and the fact that it's an 8 digit passcode!
I'm not aware of any any around this, unless an employer allows you to have different security settings (unlikely they would).
Anyone have any thoughts?