This is one of many problems with using recorded macros.
http://word.mvps.org/FAQs/MacrosVBA/ModifyRecordedMacro.htm.

Watermarks are a part of the header/footer structure. Each of you sections
apparently has two headers and footers. You will need to cycle through the
sections and the headers/footers (using ranges, not the selection object)
and insert your watermark in each one.

The following code cycles through storyranges to update fields. It may give
you a start.
Sub FieldsUpdateAllStory()
'   All Story Field Updater
'   Written by Charles Kyle Kenyon 9 December 2004
'   repaired with help from Jezebel 10 December 2004, 28 November 2005
'   Note, if used in protected form this will reset
'       formfields to their defaults
   Dim oStory As Range
   On Error Resume Next
   For Each oStory In ActiveDocument.StoryRanges
       Do
           oStory.Fields.Update
           Set oStory = oStory.NextStoryRange
       Loop Until oStory Is Nothing
   Next
End Sub

The following code inserts a field in the primary header of section 1.

Sub InsertStyleRef()
' Macro written by Charles Kenyon 24 January 2002
' From code posted by David Lett
' Inserts StyleRef field in primary header replacing first paragraph
' - including paragraph mark!
'
   ActiveDocument.Fields.Add _
       Range:=Selection.Sections(1).Headers(wdHeaderFooterPrimary). _
       Range.Paragraphs(1).Range, _
       Type:=wdFieldStyleRef, _
       Text:="witness", _
       PreserveFormatting:=False
End Sub

Hope these are of some help in getting you started. I would suggest
attempting it and then writing back with the code you have if you can't get
it to work.