So we're seeing some concerns about the absence of activation lock on the Apple Watch. It's a criticism that doesn't really consider the difficulties that such a feature could introduce for users.
First off, the data on the Watch is relatively secure, if your Watch is stolen a passcode is required when it's put back onto a wrist. What it doesn't prevent is the Watch being reset and used with another iPhone. That's different to the iPhone which requires your Apple ID and password to complete a reset.
This can't work on the Watch as it has no keyboard to enter that information. However your iPhone does and there doesn't seem to be a good reason why entering this information on your connected iPhone shouldn't be possible.
However, let's be realistic about this, no other watch on the market prevents its use after theft. There are an awful lot of watches out there that cost a lot more than even the most expensive Apple Watch.
Yes, I expect Apple to update the reset process at some stage in the future. However on the basis that the Apple Watch will be a valuable item on the black market, having some form of theft insurance is probably worth having.