The watermark will appear only on your exported photo (the derivative, if you will). It will not show up on the original photo.  The derivative is not added back into your Lightroom catalog unless you expressly tell it to be (not a great idea) in the Export dialog.

Which photo, original or the derivative (exported) version are you viewing when you say you cannot see the watermark?

Or it may be that you've run into the Watermark bug which I believe still shows up in LR4.

Put as simply as I can, this bug (i.e. watermark not appearing on exported files) can be encountered when using certain fonts only (Lucida Calligraphy is one), and even then it depends upon a combination of the Proportional Size (set in the Watermark Effects box in the Edit Watermarks dialog) and the pixel dimensions which are set for the exported file. Somewhat oddly, the larger the export pixel dimensions, the greater the chance that the bug will bite.

As a test, using your preferred font, try setting both the Proportional Size and the Export size to low values.....if the watermark then appears you'll at least have pinned down the problem, in which case your workaround options would be:

1. Try a different font.

2. Play around with the Proportional Size/Export pixel size to try to find an acceptable combination.

Are you using the Simple Watermark, or custom creating one in the Watermark Editor?

Text-based watermark or Graphic? Can you post a screen shot of your Export Dialog watermark section and your Watermark Editor showing the good preview?

Help!!!  I am having a  watermark problem as well.  Simple watermark works, my custom watermark wich worked fine in LR 3 and seems to still exist in LR4 does not appear.  It is a .png.  Is this a bug?  Is there a workaround?  Thanks for any help!

Did you not read my earlier post (#5)? This is exactly the bug that I described (I even mentioned Lucida Calligraphy as a known problem font). A quick bit of testing shows that, when using Lucida Calligraphy, the "Proportional Size" needs to be reduced down to 8 in order for the Watermark to be included on an export file size of 4592 pixel width. As this is likely unacceptable, you could maybe think about downsizing on export....but as you'd need to halve the long edge to about 2300 pixels in order to retain 17 as the Proportional Size, that also may not be acceptable. If you experiment you may find a more acceptable combination of Proportional Size and Export Size.....

But if not, you may need to find a different font.

I am having the exact same problem, and with a custom logo. It worked just fine in 3, and all other versions of LR, but in 4, it is a no-go, no matter what logo I use.

I have seen some reports of 'bugs' in the watermarking portion of LR4, do we know anything more about this?

I am currently using the 'trial' of 4 to see if it's worth the purchase, but this is a pretty big issue, as I am a professional, and if I can't watermark, or have to go to the trouble of editing in 4, then watermarking in 3, I just won't do it.