What can you and can't you do with an apple watch that has activation lock My first question is what can you do and what can't you do with an apple watch with an activation lock. 

My second question is how can I unpair the watch since the phone is a different location (I'm in South Africa and my brother is in New York with my phone). Is it possible to remove it from iCloud.com

I have to give the watch back to my work since I'm leaving but I can't unpair it. I also don't want to give them a watch with all my personal information on it.
To answer your first question: There are no limitations to having Activation Lock enabled on your Apple Watch, except for:

With Activation Lock, your Apple ID and password will be required before anyone can:

unpair your Apple Watch from your iPhone,

or pair and use your Apple Watch with a new iPhone.



– the above taken from Apple's support site –
But I don't know if those are considered disadvantages.
As for your second question, you can unpair the Watch from the iPhone by:

Launching the Settings app on your Watch
Select General
Tap Reset
Tap Erase All Content and Settings
Enter your password, if needed
Hit Continue