(I've spent way too much time on this, but I'm caught up in the drama...)
Spent some time yesterday with Chat Support who eventually got in touch with engineering. They had me hard-reset my watch and remove all other calendars from my iPhone except iCloud (remove means in Settings>Mail, Contacts, Calendars>..., not just not displaying them in the Calendar app).
With only iCloud calendars, syncing with the watch worked perfectly. The watch sync'd within a second of changing the event on the phone.
I then re-enabled my work Exchange account and syncing stopped, including iCloud.
I've related this back to engineering through Apple support, so we'll see what comes of it.
Incidentally, someone suggested a 3rd party app called Fantastical 2 and it's worked perfectly. It's an iPhone calendar app with a companion app on the watch, and it syncs all the calendars on my phone with the watch. I kind of like the app anyway, so I'll stick with it. I suggested that Apple give them a call to see how they manged to get syncing working so well.
As far as what's going on with Apple and non-iCloud calendars, my guess is that Apple either never tested it, or never implemented it. Neither speaks well of their software, given how important Exchange is professionally. Seems like the watch is a bit of a beta project. I'm sure they'll eventually fix it, but for me Fantastical 2 is working - the only drawback I see is that you can't it to watch faces.
(I have no connection to Fantastical 2, BTW. It just worked for me and, even at $4.99, it's a bargain, so I wanted to pass that on)