I created an exercise under Pilates workouts and sent it to my watch successfully but every time I charge my watch it disappears and I have to resync it. I removed other workouts thinking that would help but it didn’t.

If you scheduled the workout for certain date, it can perhaps happen that it is removed after the completion. Try sending it to the device without scheduling for a specific date. It should then remain in the folder //GARMIN/Workouts/, and on the watch, it will be visible in the Pilates activity menu under Training » Workouts.