shinkamui is right. I was just logging in to say that disabling duraspeed appears to fix the watch connection issue! So do everything in the previous post, except instead of setting the wearable app to on in the duraspeed settings, disable duraspeed. All seems good now.
Thank you so much for this @vader, @shinkamui and the others who worked this out.
I was having a ton of difficulty getting my Gear S2 to connect and stay connected to my Cosmo. Disabling Duraspeed and then setting Bluetooth and the various Gear related apps (Galaxy Wear, Gear S2 Plugin, Samsung Accessory Service) to "Not Battery Optimized" seems to have done the trick.
Mind you I just did this so I'll have to wait and see whether it really stays connected over the longer term, and whether this kills the battery overly quick.
Anyways just wanted to give thanks, this was frustrating me to no end until this helped me.