I think what that means is that you can't save the preferences of which devices to routinely install an app to from the Play Store if you uncheck the device you're currently using. This message shows up with any app that you select to install to any of your devices (not just watchfaces) if you uncheck the primary device.
For example, if you routinely want to install apps to your phone and tablet, you can bring up that Install list, check your tablet, and as long as the primary device is also checked, you'll see an option to "Save app sync preferences." If you do this, the next time you install an app, the tablet will automatically be checked. But if you uncheck the primary device, that's when you see the message "You aren't able to save preferences while this device is unselected."
Does that make sense?
I also know for sure that with newer Wear OS versions (can't remember exactly when -- maybe with 3?), you don't need to install watchface apps on the phone as well.