I have similar symptoms. I have the stainless steel watch and stainless steel band.
Watch intermittently asks me for my pin code several times a day.
I am wearing it normally tight. (any tighter and it would be very uncomfortable.
I think the problem is software.
I can fix it for a few days by force quitting all apps in my iPhone 6 Plus.
But after a few days of launching apps, it starts to fail again and starts asking me for the code several times during the day.
I does not matter how active I am. It can fail when I am taking a nap in my lounge chair.
Try this...
Double tap on the home button then swipe upward on every app you see.
In my case it can be over 100 apps.
That will force quit every app.
Now lets see if the problem is gone.
For me, the problem is gone.
It comes back maybe a week later until I force quit all apps again.