iPhone notifications with iWatcg

When I first set up my Apple Watch - I would get the notifications on my watch when my phone was locked but my phone alert sound (email, texts, etc) would go off and I loved it.

Now when my phone is locked - my watch just vibrates and phone alert sounds no longer go off. I’m active person and don’t always feel vibration on my watch.

Any way to get my phone alert sounds back while my watch is connected? It currently only goes off when my phone is unlocked.