Hi Hayleybill,
Since the watch is connected, it is 100% normal for your phone to make no sound when it is locked, once you are wearing the watch. This is because the notifications are coming in on the watch so the phone doesn't need to make a sound as the watch vibrates and pings when you get a text or any other notification. Once you are not wearing the watch (assuming you have wrist detection and a password enabled), you will hear your phone ping whenever it is locked or unlocked (once it isn't on silent).
Essentially, Normal behavior is:
Watch on Wrist = the Unlocked iPhone pings and Locked iPhone won't ping, the watch will ping when the iPhone is locked
Watch not on wrist = The iPhone will ping whether it is locked or unlocked and the watch won't ping until you put it back on (assuming you have wrist detection enabled).
I hope this helps.
-Percival876