Don't use a watermark myself and haven't tried it often but yes, you need to create templates for all. Personally i have several custom templates with different background, amount of images on one page, size and orientation. Also the font size is set to match the amount of files.
It is a bit of work but only one time, afterwards you gain much time and speed from this effort because you only need to select the wanted template to have the lay out as it should be 
A Web gallery offers no options for a watermark I'm afraid so if you need them you should create an action in PS to make a copy of the image (or save as, be sure to not loose your original) in the right size and add a Watermark. Then put Web Gallery to work.
The resizing is needed for each new template and you have to work from top to bottom because if you have a watermark and then change size or amount you have to start over again (there is a lot room for improvement in Bridge…).
Make your templates with a few files selected (e.g. max amount on one page) for speed. Each time you make changes to the watermark you can use the open to refresh preview to check whether you like it or not.
And remember, if you use the output module in Bridge it creates a PDF file merely used for Contact Sheet function that needs something like Acrobat or other viewers to view the content.
If you open a PDF in PS it might separate the files or pages first, hence you probably miss the watermark.