Hello @Alfredo Revilla - Senior Freelance SWE, SWA, IAM , we would like for you to bring this to the attention of the Microsoft Authenticator product group and PMs. The solution working for most is disabling the application lock under security within Authenticator on the phone. This introduces a security concern.
The way Apple designed the Apple Watch, take Apple Pay as an example... Once the Watch is unlocked on a user's wrist, the Watch is 'trusted' to bypass authentication prompts to interact with items on the phone because it is considered secure. In the same way, if the Watch Approves or Disapproves a Microsoft Authenticator authentication challenge, even with application lock enabled within Authenticator, it should treat the Approval/Disapproval from the Watch as though the user already unlocked Authenticator for this interaction.