Bought a s/m band watch but need m/l. Can you swap the band out or do I need to exchange the watch for the m/l?

think they view the box as one unit and will not exchange parts of what is in it

but you can try to reach out to them by

Get Support (apple.com) ,

And or

 Genius Bar Reservation and Apple Support Options - Apple

Rudegar is correct. When you buy an Apple Watch with a band, you'll have to return both the watch and band in the original packaging, including accessories.