macOS Sierra Apple Watch Unlock - persistant iCloud Sign in required dialog
I had the same problem: In settings I was definitely logged into iCloud, but the Apple Watch unlock setting still claimed I wasn't.

I stumbled on the following weird solution:

I happened to start FaceTime on Mac, and noticed that I wasn't logged into it. I logged in.

When I then opened the Security settings again, the Allow your Apple Watch to unlock your Mac was checked!