So, I've had the new watch for 11 days now, overall it seems much better but there does seem to be consistently 2 scenarios where the watch doesn't connect to the phone:
1 - Phone is stationary for a long period of time (i.e. sat on my desk), I walk away so the watch is out of range and disconnects, when I get back into range it doesn't reconnect and the watch will continue to display the disconnected icon. If I then interact with the phone it will connect. I put this down to the phone rather than the watch, I'm guessing that as the phone is stationary there is some of the Marshmallow battery use optimisation going on so it's not automatically searching for the watch and reconnecting - this would explain why it does reconnect as soon as I interact with the phone. I've tried changing the battery optimisation settings on the phone so that android wear & bluetooth share are not optimised but this doesn't appear to have helped.
2 - Watch goes out of range for a very short time, then back in range. The watch will show it's connected, but androidwear app shows its trying to connect. In this case it seems the watch hasn't realised that it lost the connection in the short time it was out of range so does not want to reconnect to the phone. This is usually fixed with one or more of - reconnect via settings on the phone + (sometimes) turn bluetooth off then back on in the phone. I can also avoid this by when i'm out of range waking up the watch which then seems to prompt it to check the connection and realise it's lost.
Both of these are annoying but I feel like I can work with it and don't think there's anything broken with the hardware, hopefully just issues with the software connection/reconnection logic which will be fixed in a future release.
Still loving the watch and feel like it's very quickly become a natural device to use and interact with.