Locked Apple Watch, what should we do?

Follow ALL the steps in this link;

What to do before you sell, give away or trade in your Apple Watch, or buy one from someone else – Apple Support

You must have missed something,try this;

To unpair and erase watch and remove Activation Lock.

On a computer, go to iCloud.com and sign in with your Apple ID.

Go to Find Iphone.

Select All Devices, then click your Apple Watch.

Click Erase Apple Watch.

Select Next until the device is erased.

Click the remove button next to your Apple Watch.