Hey there don_the_enforcer,
Thanks for reaching out to Apple Support Communities. We understand that you're having some with a notification badge on Message app, when you do not have a new message. We're happy to provide some assistance.
This may seem like a simple step, but have you restarted your device? Restarting your device can resolve unexpected issues. Take a look here on how to restart your Watch:
How to restart your Apple Watch
If the issue persists, turn off notification for your Messages, restart both your Watch and your paired iPhone, and turn your notifications for your Messages back on again:
Notifications on your Apple Watch
We hope this helps.
Have a great day!