I've had my Rolex for almost 4 years now, and I never take it off when going through airport security. It's never set off any alarms. Maybe because it's stainless steel?
I have never taken my Rolex off going through security either (since 2007), and I have never had to take any jewelry off going through security. My mother flys all the time and she has never had to take any of her jewelry off and she says they don't normally make women take off their jewelry...