Apple Watch Series 4 + iPhone XS Not Staying Connected
For some reason, with the latest Apple devices, if you immediately pair your new Watch to your new phone on initial setup, the Bluetooth connection doesn't appear to "stick" beyond the initial connection. The first time your phone goes out of range of your watch, will permanently break the connection.

Once you unpair and re-pair your watch to your phone, the connection will start working properly again. So you must pair your watch to your phone after your phone is completely set up, in order to get the connection to stay.

Also, it will give you an Unpairing Error when you attempt to unpair from the phone side. You then have to completely factory reset your watch, then restore the watch from an iCloud backup when you re-pair it. This is the only way I've found to fix this problem, and so far the fix appears to be permanent.