Do all devices need upgradation after upgrading Apple Watch to two-factor authorization?

... and 2FA applies to your Apple Account, not a device, the other devices will be automatically set up to use it.

In most parts of the world except USA you cannot turn it off once it is activated, and why would you - it stops the bad guys getting your stuff.

Certain features, like Apple Pay, for example, require the Two-Factor Authentication:

Two-factor authentication for Apple Account - Apple Support