Remove photos from multiple Apple devices

You would need to turn off iCloud Photos on those other devices and then remove the photos there. The purpose of using iCloud Photos is to sync them across all devices so all the photos are the same and when you delete from one device, they will be deleted from the others. If that is not what you want, then turn off iCloud Photos on those devices and if you want to add photos to them, use AirDrop.

For the Watch to have different photos then the paired iPhone, you need adjust what photos you want to sync to the Watch.

Choose a photo album and manage storage on Apple Watch - Apple Support

Turn off iCloud sync on whichever device you no longer wish to sync. You can then modify the device contents. without. affecting other. devices.