Actually they do work, you simply need to “Long tap” the option you select instead of a “simple-tap”. Also note that the watch face settings menu on the watch doesn’t have a memory of the “last pressed state” of a button, so whenever you re-enter the settings the options are always listed the same, even if the active option is not the one highlighted in the menu by default just remember that this list is static and you’ll be fine.
Accessing the settings from the watch directly is quite nice, but note that it better to access those settings from the phone. Yep from the Android Wear app, when you select a watch face you see a little cog icon on the watch face to access its settings. This is much better since a lot of options are only found there and not on the watch directly.