What doesn't show? Were you not able to check the box that says Unlock your Mac using your Apple Watch? I've found, pretty consistently now, that you need to reboot everything after you check that box.
Okay.. I FINALLY was able to get the menu option to show up. (So yes, there was no checkbox for 'unlock your mac using your apple watch).
This is what eventually allowed it to appear late last night (Same night I turned on 2FA).
I had filevault on. I turned that off to see if it would do anything as I saw one random post that alluded to it.
I went back to general and initially didn't see anything.
2. I have an app called MacID which essentially did the same thing but on ElCapitan. I tried quitting it in the past but that didn't help. This time I turned of the searching or listening for iPhone option in the menu.
Those two items (filevault off and turning of the listening in MacID) happened within 1 minute of each other.
Now, I don't know if it was those two, or the addition of the X hours after 2FA was activated (Or perhaps a combo of the three) but switching over from the tabs back to general, the option just magically appeared for me! And now it has worked each time so far today.
BTW, once it appeared and I was able to successfully select it, I was able to turn filevault back on with no problems. I also found MacID to not be needed so I removed it from my login items as well.
Hope this post helps some... It really is annoying to have gone from these two different types of 2 'factor' authentication... Why didn't they just 'upgrade' the process from what they had originally implemented? Is the new 2FA supposedly better? Looking for the article on why Apple made the switch.