Family Sharing on Apple Watch SE

Yes, when using Family Setup for Apple watch, by definition, each Apple watch gets its own phone number added to the Family Organizer's Phone service plan bill.

See here: Set up an Apple Watch for a family member - Apple Support

and

See here: Set up cellular on Apple Watch - Apple Support

Set up cellular on a family member's Apple Watch

You can set up a cellular Apple Watch for a family member

who doesn't have their own iPhone. If your cellular carrier supports

the use of a managed Apple Watch, you're given the option to add the

watch to your plan during setup. If your carrier doesn't support it, you

might be able to use an alternative carrier. 

To see the phone number assigned to your family member's Apple Watch

after you set up cellular, go to Settings on the watch, then tap Phone. 

Setting up a managed Apple Watch for a family member is available only in certain countries or regions.

If you're in China mainland, you must verify your

identity when setting up cellular on a family member’s Apple Watch, as

required by local regulations. Contact your carrier for further

assistance if needed.

I’ve used family to setup a new Apple Watch SE for my son with the cellular. We also setup school time and screen time to restrict he can only calls and received phone calls from us. However, it seems like there is either a iOS or WatchOS bug that the spam phone call can still going through his watch. Any help will be highly appreciated! Thanks!