We can confirm that the new watches using WearOS currently don't have an option to play the locally stored tracks on shuffle. We've passed this on to the right team here with Spotify to look into this.
There're others that feel just like you and want this feature to be part of the WearOS experience and as such, they've created this idea. We recommend voting and subscribing to the idea, as we'll be using its thread to keep everyone updated on any developments.
Let us know if we can help you with anything else.
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