No that's absurdly incorrect. Lots of your apple devices can transfer data to other devices and Apple has all kinds of security mechanisms in place to allow this to happen only when it should.
The Apple watch is a minature computer with it's own screen, it's own passcode, it's own CPU, it's own wifi, bluetooth and optional cellular modem. It's trackable on "Find My", etc.
There is no good reason whatsoever if you still have your watch and the passcode and control of your apple ID and all the other devices associated with it you shouldn't be able to back it up to one of the other devices or iCloud or both. No reason other than poor design. Apple is even able to use Apple ID to remotely reset passcodes on some devices if you enable it (now that's a bad idea!). Surely they could have designed this better. Losing your watch data because you lost the phone is a double kick to the teeth.