I am having the exact same issue. Which doesn't make sense, as from what I understand, with the W1 chip, once the headhones are paired with your iPhone, they should be automatically available on your Watch, through iCloud.
What I find is that if the phone is connected to the watch, they automatically connect to the phone and you have to disconnect them manually in Settings->Bluetooth. They should then connect to your watch.
I have been to the Apple Store to have this looked at. We unpaired my watch from my phone and then re-paired and set the watch up as new. The headphones worked properly, connecting to phone and watch at the same time. I re-synced my playlist with my watch and it stopped working again. I believe it has something do with this step. I think it may have to do with upping the storage limit in the Watch App Music Setting. Once I up it to 2gb and sync music over the original 1gb limit the headphones seem to stop connecting properly.
I am currently running a test, slowly adding more songs and testing the BeatsX connectivity between syncing sessions. So far I am at 736MB and it's still working.
Will post a followup when I'm done.
Aaron