Juli Clover, writing for MacRumors:
Apple is planning to offer customers an opportunity to exchange only their Apple Watch bands rather than an entire Apple Watch if a band is the wrong size or the wrong style. […]
A band swap, according to an internal employee training document, can potentially save the customer time as it eliminates the need to set up and sync an entirely new watch.
This is how it should be done. I can’t imagine how annoying it would be if you had to get a whole new Watch just because you weren’t happy with your initial band choice.