Watermarks are only an issue in-as-much as it is used to trace down which copy was leaked.
With modern digital projection systems; you don’t get a reel of film; you get a briefcase of [SS/HD]Ds containing the raw, encrypted, footage. The digital projection system will decrypt using provided keys. There’s no output except the standard ones for the theatre projectors and sound systems…so capturing the output is difficult.
If you do intercept the signal; the projection system might detect it; and refuse playback or wipe the decryption keys. Watermarking is also a danger; since your theater can get identified as the leak source and sued.