Voice Memo on Apple Watch

Apple’s stock Voice Memo app does not currently have an Apple Watch counterpart. You can submit feedback to Apple here: https://www.apple.com/feedback/

In the meantime, yes, you will have to use a third party app.

I was not able to. I had two different Apps on my iPhone, but I was unsuccessful, so I downloaded the App which stated it could be used with the watch. I have tested it and it works.

Yes, there are a number of Apps that will do that. I have one on my watch called "Voice Recorder",