If your Apple Watch is lost or stolen, it can be activated by whoever has it and configured as if it’s a brand new device.
Although the Apple Watch has a passcode option, it only protects your data. Pressing down on the side button of the Apple Watch brings up the power down options. If you force press the screen an option to Erase All content and Settings appears.
If the Apple Watch is wiped like this, it can be paired with a new device.
It’s not unusual for Apple to leave expected features out of new products – the original iPhone lacked the ability to cut, copy and paste text. However, it seems to be a significant oversight to omit the Activation Lock security feature from their newest product.
Hopefully, Watch OS 1.1 will include Activation Lock.