When trying to switch Apple Watch according to the section "Supporting Communication with Multiple Apple Watches" in "WCSession Class Reference", "sessionDidBecomeInactive:" and "sessionDidDeactivate:" are called, but "session:activationDidCompleteWithState:error:" is not called.
Checking "Xcode" > "Devices", it is confirmed that the active Watch is switched from Apple Watch1 to Apple Watch2. (Watch’s UDID is confirmed) In addition, it is confirmed that session:activationDidCompleteWithState:error: is called at the time of launching iOS app.
Is this a bug of iOS 9.3 beta?