Samsung advertises this feature, but the Spotify app has disappeared from the Galaxy Store for all non-Samsung phones for several weeks. There are also problems with the download function on Samsung phones. I bought the watch this week, still own an LG G6, Spotify cannot be downloaded anywhere.
Since yesterday, the Spotify app is back in the Galaxy store and I was able to download it to the watch without any problems. Now I can listen to music offline without a mobile phone, which was one of the main reasons I bought the watch :). The connection with Bluetooth headphones also worked well for me. (Jaybird x3)