The Apple Watch is locked with Activation Lock, applied by the original owner. This is a security lock designed to make stolen devices useless, and only the original owner can release the lock so you can set it up and use it with your account. Hopefully you purchased from the real owner and they will cooperate to complete the steps which should (ideally) have been done before the watch was shipped.
Please see details in these 2 Apple support documents, which describe how the original owner can release the locks even after the watch was sent to you.
About Activation Lock on your Apple Watch - Apple Support
What to do before you sell, give away, or trade in your Apple Watch, or buy one from someone else - Apple Support
The other less pleasant possibility is that the watch has been stolen, and the seller can't release Activation Lock because they don't have the login credentials. If that is the case I'm sorry, you have been scammed.