WOW - I see 4,752 people have noted they have this question too!
Adding my situation to the list here - iPhone SE (original) on iOS 14.2 and Apple Watch 6, intermittently not getting text message Notifications on either device, but they do seem to pop up on my iPad (just noticed them on iPad recently, so not yet sure if the missing ones always go there (my first impression was that my iPad was somehow stealing the notification, which didn't make sense at all). Today I spent an hour and a half on phone with Apple Support with no resolution other than wait for 14.1 (after restoring my Watch to New and losing all my data).
After reading this and a few other threads, I'm just going to give up and accept the fact that for foreseable future Notifications won't work. Very frustrating, have had iPhone since the very first early release and never had such basic loss of function