OpenCV help for watershed does not explicitly explain the connectivity used in the function. It just refers to the paper MEYER, Fernand. Color image segmentation. In: Image Processing and its Applications, 1992., International Conference on. IET, 1992. p. 303-306.
Maybe you have to implement your own watershed algorithm, starting from the one available in OpenCV (OpenCV 2.4 implementation is here), or creating a new one; for example the following paper describes an algorithm where the connectivity is properly highlighted: