In WWDC, it was announced that macOS Sierra will have an 'auto-unlock' feature using the Apple Watch whereby if you approach your Mac wearing your Apple Watch, the Mac will automatically unlock. I don't recall seeing anything about the reverse though? Does macOS Sierra also have an auto-lock using the Apple Watch?
No. This isn’t something the os will do alone. You’d need a third party proximity app or script to trigger a screen lock when your watch leaves the vicinity of your Mac.