I have worked most of the day with Apple support and an iOS Senior Advisor regarding this issue on my iPhone 12 running 14.2. So far I have reset my phone, reset all settings and done the full OS replacement via iTunes. Nothing has worked. All notification settings look good and are what you'd expect.
I also have an apple watch where the notifications have continued to work fine.
So far, the only fix is to turn off Bluetooth on my phone. In other words, when Bluetooth is enabled, I don't receive any notifications on my iPhone when locked. When I disable Bluetooth, the notifications appear on my lock screen as expected.
Not sure if this helps anyone, but I'd be curious if this also works for anyone else. I have another call with Apple tomorrow and would like to report more on the issue.