Yes, the watch app uses GPS/Location services from your watch, it it has GPS. Is yours at least a Series 3 watch?
There isn't a way to lock this mode, but it has been a requested feature. What map are you using? Going to the compass or descriptions should not take you out of this mode.
I wasn't able to replicate this. Let me know what map type you are using so I can try and replicate that on my devices.