The "words are the same but the music doesn't play" for my look at Watermarks in a couple of Word versions. My newest version is the one that says "when this doesn't work, see Format|Themes, but I haven't figured that one out either.
It seems to be very common in Word (and Mickey stuff in general) for the "no-Help" authors to assume that you're trying to do what they're telling you how to do; but they often don't mention exactly when/where/why you should want to do it. You often end up doing something else by accident.
I don't find anything that gives a useful definition of what Microsoft means by "watermark." It may be something entirely different from what's needed here. I know several usages for the term, and I can't even tell which one they're talking about.
Sure, I can use it - but what is it, and when/why should I want to? They don't say.