@Nils – thanks for sharing the screenshots. I was able to replicate your automation as set up on my phone/watch. From the perspective of figuring out your problem, I’m sorry to say that it worked fine for me. The one thought I have that you might try – I see that you’ve set up the change watch face as a completely separate shortcut and then are executing the “run shortcut” action. You can put the “set active watch face” action in the automation itself – instead of When Wind Down Starts --> Action = Run Shortcut, try When Wind Down Starts --> Action = Set Watch Face.
Full disclosure – this falls into the “something I saw that you might try” category of solutions, not the “I have an understanding of when and why Shortcuts don’t work and this makes sense” category
My one other question for you based on having played around with the Sleep/Wind Down settings last night when trying to figure out the issue with your shortcut – are the other parts of Wind Down behaving the way they should? I got a “wind down is about to start” notification 1-2 minutes BEFORE wind down time (e.g., if my “bed time” is set at 10:30pm (2230) and my wind down time is 15 minutes, I get the notification around 10:13pm (2213) for wind down to start (and the automation to run) at 10:15pm (2215). If that isn’t happening on your watch, another possibility is that there is something in the way you have Sleep setup that is keeping wind down from triggering the automation.