Glad it's not just me. I'm having the exact same problem. In the Activity app on my Watch and in the Fitness app on my phone, step counts and exercise minutes are where I'd expect them to be.
But going into the Health app, it seems only a portion of that data is syncing back. Today, so far my step count is less than half in the Health app as it is compared to what my Watch seems to be registering.
If I go to Health, then Steps, then Data Sources & Access at the bottom, I can click on my Watch to see the data and it matches u with the weirdly low number. Meanwhile, the Step data that my iPhone is recording is more than double what's syncing back to the Health app from my Watch.
It's very weird, because according to the Activity app on my Watch, everything is being captured there. I don't know why only some of the data is syncing. It's happening with active calories, exercise minutes, steps, and even stand hours. Oh yeah, I tracked a walking workout this morning and that didn't sync to the Health app, either. Last workout it shows for me was the pre-update run I did on Wednesday.I guess it's just a bug, but it's a pretty bad one.
FWIW I'm on an iPhone XR and Watch Series 5, running iOS 14.0 and watchOS 7.0, respectively.