In Word for the web, you can see watermarks that are already in a document, but you can’t change them or insert new ones.
If you have the Word desktop application, use the Open in Word command to open the document and insert or change a watermark there. When you’re done and you save the document, it will continue to be stored where you opened it in Word for the web. When you reopen it, you’ll see the watermarks in the doc.