Having a similar, but slightly different issue. Have an IPP11 and a S5 watch. If I use the Calendar app on my watch, I can see all my iCloud Calendars on the watch/complication. But, if I use any third party calendar app, they can see my calendar events on the phone, but the apps on the watch cannot see the iCloud calendars. After testing, noticed there seems to be two type of iCloud calendars. One strictly in the cloud, and one that’s copied on the actual phone. What I found is if I toggle the iCloud Calendar switch to OFF in the iPhone settings, I get asked “What would you like to do with the previously synced iCloud calendars on your Phone? KEEP ON MY iPHONE or DELETE FROM MY iPHONE”. If I select KEEP, it creates a local copy of my iCloud Calendar entries, and then suddenly, the apps can see all the calendar entries. If I look at the calendars available in the Apple Calendar App, it now shows ON MY IPHONE listed above my iCloud Calendars, instead of showing them with an ICLOUD header. However, when I go to turn the settings switch back on, it asks me if I want to merge iCloud with the local copies, and when I do that, they all disappear from my watch again (except from the Apple Calendar app).
So the watch is not able to see iCloud calendars that are truly housed in the cloud, and which aren’t saved locally on the iPhone. I suspect this might be what is going on for everyone else as well. Test it out by turning of the switch, and then selecting KEEP, and see if the events show up on your phone before you turn the switch back on.