For a reason unknown to me- Windows does not show the watermark on the small thumbnails in File Explorer.
If you open the exported images in another editor or import them back into Lightroom, you may see the watermarks as intended.
LR has a bug where it does not put the watermark on the thumbnails that are embedded in exported JPEGs. Some photo browsers/viewers use that embedded thumbnail if it is present. E.g. Windows File Explorer will use those thumbnails, so it will appear in Explorer that your pics don't contain the watermark. But if you open the pic full size, e.g. in Windows Photo Viewer, you'll see the watermark.
Add your vote and opinion to this bug report in the official Adobe feedback forum: Lightroom: Watermark omitted from embedded thumbnails of exported JPEGs. That will make it more likely that Adobe will prioritize a fix.