I figured out the problem. I had to use System Preferences iCloud on my Mac to then manage devices. Seeing Watch there, I was able to delete it. This was also confirmed by checking iCloud from a browser.
No where did I find this instruction in Apple help or by searching via Google. Would have saved me lots of time had I known to check the Mac. It was only when riding my bike and casually thinking about the problem that I recalled an iCloud setting in Mac System Preferences. Going into Account Details, I then saw Devices and was able to Delete the Watch.
Eureka!