I do not see any way to do this in the program although it sure should be an option. One work around might be to print the client copy to a pdf using a pdf printer that has a watermark option like Bullzip. Bullzip is a free pdf printer that allows watermarks and offers the ability to password protect as well. It is free at bullzip.com.
There is in fact no way to add a watermark to a client copy ( or any copy) of a return inside the ProSeries Basic edition of the program. The best way to add this is to use a PDF editing program to do this for you after saving a PDF of the return.
PDF copies of returns can be found (normally) on your C drive under ProPDF