Apple Watch unlock feature for macOS Sierra requires turning off 2-step-verification
You need to disable two-step verification and enable two-factor authentication.

If you follow the steps in this article, it will show you how you can use your Watch to wake-up your Mac.  One of the key parts is at the bottom of the article:


  For those of you using the original Two-Step Verification instead of the Two-Factor Authentication feature introduced with iOS 10, you will need to disable Two-Step Verification on the Apple ID management site and then enable Two-Factor Authentication on an iOS device. A passcode also needs to be established on the Apple Watch.