This is the information I have found in the Appel Watch User Guide:
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Skin sensitivities. Some people may experience reactions to certain materials used in jewelry, watches, and other wearable items that are in prolonged contact with their skin. This can be due to allergies, environmental factors, extended exposure to irritants like soap, sweat, or other causes. You may be more likely to experience irritation from any wearable device if you have allergies or other sensitivities. If you have known skin sensitivities, please take special care when wearing Apple Watch. You may be more likely to experience irritation from Apple Watch if you wear it too tightly. Remove Apple Watch periodically to allow your skin to breathe. Keeping Apple Watch and the band clean and dry will reduce the possibility of skin irritation. If you experience redness, swelling, itchiness, or any other irritation or discomfort on your skin around, or beneath, your Apple Watch, please remove Apple Watch and consult your physician before resuming wear. Continued use, even after symptoms subside, may result in renewed or increased irritation.
Apple Watch models with a stainless steel or aluminum case, the stainless steel portions of some Apple Watch bands, the metallic portions of Hermès bands, and the magnets in the watch and bands contain some nickel. Nickel exposure from these materials is unlikely, but customers with known nickel allergies should be attentive when wearing them until they can determine they are not experiencing an allergic reaction.
The Apple Watch case and the Apple Watch bands contain trace amounts of acrylates and methacrylates. Acrylates and methacrylates are found in many consumer products that come in contact with the skin, such as adhesive bandages. Some people may be sensitive to them, or may develop sensitivities over time. Apple Watch and its bands are designed so that parts containing acrylates and methacrylates are not in direct contact with your skin.
The materials used in Apple Watch and the Apple Watch bands meet the standards set for jewelry by the U.S. Consumer Product Safety Commission, applicable European regulations, and other international standards.
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copied from: Important safety information for Apple Watch - Apple Support
Also check this related discussion about it:
Apple Watch burn mark - Apple Communities
