No, you want it not to be in the header area; you want it in the middle of
the page. If you have object anchors displayed, when you click on the
WordArt object, you will see an anchor next to the pilcrow (¶) that
indicates the header paragraph (if you have nonprinting characters
displayed). This shows that the object is anchored to the header paragraph
and is therefore part of the header (it will never be part of the header
text because it is in the drawing layer and not the text layer).
The test will be that when you close the header, you will no longer be able
to select the WordArt object. Also, if you insert a page break (Ctrl+Enter),
you'll see the watermark on the next page as well (assuming you've anchored
it to the Header and not a First Page Header, in which case you'll have to
copy/paste it into the Header as well).
You might want to read
http://word.mvps.org/FAQs/DrwGrphcs/DrawLayer.htm