On verizon, it's more than just clicking settings. In order to initiate call forwarding, the watch has to request it, which means the it connects remotely to the phone, which then dials the *82 (or whatever it is) code along with the watch phone number. I don't know if other carriers handle it differently.
AS @Haus noted, each 3G/4G Gear S2 has a bit different approach to passing on the phone call.
For AT&T (my watch) the method on Gear S2 is number sync and it's located in the connections menu of the Watch and worked via the MY ATT app. I think that there also may be a connection in Gear Manager App to forward calls, It's been a while, but when I first had the watch just setting up number sync was not enough -another step was required.
If you can't work it -very simple to call the help line (ATT = 611) or walk into the nearest store for help. My experience is the phone help is much better than that offered in-store, when it comes to technical issues.
I realize it's been a while since this was asked, but I found that my s2 won't trigger my phone to switch forwarding on. This happens when I'm in an area that non volte isn't available. Turns out that the phone needs to send a command *86 something or other, but it's not compatible with volte. So my phone will actually drop service on my desk when I walk out of range, as it tries to send this command, turns off lte, and goes dead.
This shouldn't be a problem with the verizon or att version, but it is at least on tmobile if you're in an area that's ONLY serviced by extended range band 12 LTE.