Hey there intrepidd,
Thanks for reaching out to the Apple Support Communities.
Just to clarify, when lowering your wrist does the entire display turn off, or does the display dim until is barely visible?
If the display is dimming, then this would be expected behavior. If the display is turning off, do you by chance have Low Power Mode enabled? We ask because Always On would not be available if using Low Power Mode.
Check out this link here for more details: Use the Always On feature with your Apple Watch - Apple Support
To preserve battery life, the display dims when your wrist is down, or by a quick gesture of covering the display with your hand. Raise your wrist or tap on the screen to bring everything back to full brightness and make the watch screen active so that you can interact with your watch.
Always On isn't available when your Apple Watch is in Low Power Mode or Theater Mode, which you can turn on or off in Control Center.
Let us know if that's able to help.
Take care.