The the paragraph on skin sensitivities in the user guide: https://help.apple.com/watch/#/apdcf2ff54e9
It lists possible allergic reactions:
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, space gray aluminum, or rose gold 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.
Apple Watch, the Woven Nylon, Milanese Loop, Modern Buckle, and Leather Loop bands contain trace amounts of methacrylates from adhesives. Methacrylates are commonly found in many consumer products that come in contact with the skin, including adhesive bandages, but some people may be sensitive to them, or develop sensitivities over time. Methacrylate exposure from Apple Watch and the bands listed above is unlikely, but customers with known methacrylate allergies should be attentive when wearing the bands until they can determine they are not experiencing an allergic reaction.
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.