Hi
I can verify that I unpaired (wich also erases) and re-paired the watch with no luck. I have not activated any screentime restrictions for me either.
Yesterday I migrated to my new iPhone 11 Pro Max and transfered phone-content via iCloud, and the process transfered my watch as well, and paired it to my new Phone. Still there was no code, and I could not set any code.
When you asked me to verify the process I decided to try it again, and this time unpairing and re-pairing worked. During the restore from backup I was asked to set a 4 digit code, and the code now works and are needed after I take the watch off. I can‘t remember I was asked to set the code in the previous restore.
Technically this seems to require repeating the process three times before it worked...
Thank you for getting me to try it even one more time :-)