Worked for me
Create a new playlist in Amazon music. Go to Amazon music on watch -- Library -- your new playlist -- swipe left to expose the 'download' thing -- hit it. "charge your watch and make sure amazon music is running on your phone". "Ok. Got it". Wait.
When you're ready listen to it, make you navigate to it via the 'downloads' area in the watch music app.
Apple Watch Series 8, watchOS 9