For me, having iMessage on, even when signed out of iMessage results in no audio notifications. So I turned iMessage off completely. If my iPhone is unlocked, I get the audio alert. If locked, I get the alert on my Apple watch. I would prefer to get the audio alert on both but have not figured out how to do that yet. Wifi and bluetooth are both turned on.
While I would prefer iMessage on my phone to be on, this is an acceptable compromise for now. My phone sits in a charging cradle when at my desk, so not locking the phone is not a big deal.
I wish there was some sort of logging tool so that I would know what is actually happening (why is the audio being suppressed when I get a visual alert on my iPhone without the audio?) I've lived the Samsung life for a year. Despite this problem, not going there. Don't need another hobby. This is a complicated problem and systems are interacting in unexpected ways.