If I have lighter-than-normal skin contact, I can replicate this 100% of the time. My watch will never lock if I wear it semi-loosely. I can take it off my wrist and put it back on as many times as I want. As long as I don't tilt the watch so that the screen goes dark, it won't lock.
Now if I start with a tight grip around my wrist, (how I normally wear it) and then remove it, it will auto-lock 100% of the time, no matter what I try.
My guess is that this will occur when there's light skin contact. Perhaps the watch cannot detect between light contact and no contact, and thus does not lock when removed. Try wearing your watch tightly and retrying your steps, and seeing if that makes a difference?