It is my understanding that the announce messages feature is muted by the iPhone ONLY! In other words, your iPhone must be locked with the screen off for the announce feature to work. I receive the notifications when I am wearing my watch, but my phone is also locked with the screen off inside my pocket. Also, make sure you are giving it enough time; my watch will "Ding" first, and then a few seconds later the message will be announced through the AirPods. Make sure you are ignoring your watch and do NOT open the message conversation or you will mute the announce function because it will unlock your phone. I don't think the issue is wearing your watch, the issue is your phone is getting unlocked. Try locking your phone and then placing it face down on the table so the front camera is blocked, then try receiving a message again.