I'm new to this thread, but not new to the problem. My iPhone Xr and Apple Watch are plagued by the same issue (no notifications on incoming messages).
Both iMessages (blue) and SMS (text) are impacted.
I've tried many/most of the suggestions posted on this thread (and elsewhere), to no avail.
The bug is random - occasionally I'll get a notification on the watch, but not very often.
I found a workaround, of sorts. I've added the watchOS Messages app as a 'complication' on the face of the watch. Whenever a new message arrives, the complication immediately displays X UNREAD, so I can see that new messages are waiting to be viewed by glancing at the watch. Better than no notification at all.
Another observation that I've not seen reported on this thread - I found that if I disable Bluetooth on the iPhone, the notifications are restored on the phone. Even if it is sleeping/locked, an incoming message will trigger the expected visual/audible/haptic notification on the phone. I surmise that the firmware on the phone is suppressing notifications on the phone thinking that the watch is going to provide the notification. That's by design. But with BT turned off, the phone decides that it needs to issue the notification. That's purely conjecture. Needless to say, leaving BT turned off on the phone is not an acceptable solution.
I also have a senior advisor working on the case. She has contacted Engineering about the bug. There's no evidence that the Engineering people she contacts are in touch with those reported by @christiansaint in the previous post.
