Cheap “Chinese bands” are just that - cheap. Feel free to use, but I’d neither trust the data, trust them to last, and/or trust them not to fry my arm.
As for the AW, during sleeping there’s a chance your AW may lock because maybe your arm is in a position that made your watch lose contact with your arm. BUT, the AW will continue to monitor your sleep for you, even locked. So, if you are taking off your watch, it doesn’t know that and will still try to record your sleep.
I recommend doing what I do - full manual sleep focus. Go to iPhone Health / Sleep / Sleep Schedule and turn it off. Then, when you are ready for to go sleep, turn on Sleep focus from your iPhone control panel. Go sleep and leave it on (and leave your watch on when you pee). When you get up in the morning, turn it off.
I’m not sure what continuous HR has to do with sleep tracking. Plenty of data shows that AW sleep tracking is nearly on par with sleep study devices.
Regardless, what are you trying to do with sleep tracking? I use it to help guide my training schedule or to give me some insights when I should rest & recover from over exertion or a sickness.
Don’t over think it though. If you are into training, I recommend Gentler Streak and manual Sleep Focus managing. GS will track your key metrics while you sleep and advise you on the day ahead.
And keep in mind. In the end, if you are still not happy with how Apple tracks your sleep, there our tons of well-regarded sleep tracking apps in the App Store to help you dial in to your expectations. That’s not something you’ll find with cheap “Chinese bands”.