So you bought the watch with the nylon band after the recent new band release? Or the nylon bands were replacements for the band that came with your original watch?
Series of events:
Had a 42mm SS Apple Watch since launch. Purchased with a black classic buckle.
Bought Pearl Nylon band after it was announced.
Nylon band arrived and wouldn't lock in place.
Called Apple about the problem - a replacement was sent.
Went to Apple Store to try the bands there (before replacement arrived). Went through four bands, none of which would lock into place.
Emailed Tim Cook. Apple called me and wanted to examine the watch. I expressed that I didn't want to send my watch in.
Apple setup an appointment for today to have my watch and replacement band replaced in-store with a completely new watch and band (retail box).
First retail box (42mm SS), nylon band wouldn't latch after removing.
Second retail box (42mm SS), nylon band latched correctly.
My watch, the nylon band and the first retail box watch were sent back to Apple for the team to diagnose the problem (which appears to be both watch and band tolerance issues).