I track my weight training using the the Strength activity and 'Free training'.
The watch interface allows me to enter reps and weight in KG.
The weight is displayed on the activity as lbs on the connect app.
But if I go to edit the activity (to set the correct exercise) it shows the lb numerical amount, but as KG.
To confirm:
My watch is set to KG
I complete a gym session and view the activity on Connect and it shows the weights in LBS. I then click EDIT to set the name of each set to the correct gym exercise and it displays the weight numerical value in pounds but shows KG as the weight denomination.