How do I set up my Apple Watch?

Is the watch still protected by the Activation Lock and the Apple Account of the previous owner is shown?

Only the previous owner can disable the Activation Lock for the Apple Watch, which can also be done via the iCloud Account over the Web:

About Activation Lock on your Apple Watch - Apple Support

Unless you have proof of purchase or ownership, as explained in this related article, the official Apple Support can not disable the Activation Lock:

Additional Support - Activation Lock

Sorry, but the official Apple Support can not help you to find the previous owner of the watch.

Did you buy the watch from another person?

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Before you buy an Apple Watch from someone other than Apple or an authorized Apple reseller, make sure that the device is no longer linked to the previous owner’s account.

1 . Identify the model of Apple Watch

2 . Make sure that the previous owner removed Activation Lock from the watch and that the watch has been erased. They must unpair the watch and remove Activation Lock by entering their Apple Account password, so you can use the watch. 

• • If you see the passcode lock screen or the Home screen, the device needs to be erased. 
  • If you can, try to pair the watch with your iPhone. If you're asked to enter the previous owner's Apple Account password during setup, then Activation Lock is still on.

3 . For cellular models of Apple Watch, make sure that the previous owner removed and cancelled any active cellular plans.

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copied from: What to do before you sell, give away, or trade in your Apple Watch, or buy one from someone else - Apple Support

If you bought it used and it's locked and you are not able to contact the original owner then you just learned a valuable lesson and hopefully not too expensive a lesson. In short, there isn't a thing that can be done. Moving forward, Apple sells refurbished Apple Watches. These are generally a good buy (also look for sales too, as new ones frequently are on-sale) as they are identical to new, come with the same 1 year warranty as new, are eligible for AppleCare and can save $$$. Look on Apple.com, scroll to the page bottom and click the Refurbished Store.