There is a new control center called lock, but I don't have access to it.
How do I get it (it's up to date)(I have an Apple Watch Series 7)?
Apple Watch Series 7, watchOS 9
In order for the lock icon to appear, you must turn off wrist detection. Wrist detection is what automatically locks the watch when you take it off. If you lock the watch, you have to use the passcode to get back on. So the "Wrist Detection" switch is in Settings>Passcode. When I changed that setting on my phone, the lock icon appeared in the control panel.
Look here for more stuff about locking the watch:
Lock or unlock Apple Watch - Apple Support