Hi Raquel,
Thank you for contacting us. The Apple Watch app is primarily protected by the code needed to unlock your watch. For example, if you were to take your watch off of your wrist, no one can can get access to any app on the watch unless they know the passcode for unlocking the watch itself. Therefore, any app you have on the watch cannot be accessed either. In short, there is no way to cause mSecure on the watch to lock every time you place the app in the background, and that is by design.
Raquel