No text alert sound when iPhone and Apple Watch are both locked

In this document (Notifications on your Apple Watch - Apple Support) it says:

"If your iPhone is unlocked, you get notifications on your iPhone instead of your Apple Watch. If your iPhone is locked or asleep, you get notifications on your Apple Watch, unless your Apple Watch is locked."

Okay, but what if both are locked? I'm not getting the text alert sound when both are locked. Only when I turn off Bluetooth (which is how they're connected) do I get the text alert sound back on my iPhone.

I've had iPhones for many years, and I bought my first Apple Watch recently. I can't figure out why this is happening. I spent 45 minutes on the phone with AppleCare, and that was no help.

I'm running iOS 17.1.2 on an iPhone SE 2020. Apple Watch is Series 7, running the latest WatchOS.

Just to be clear, I'll repeat this. WHEN BOTH THE PHONE AND THE WATCH ARE CONNECTED AND LOCKED, I GET NO TEXT ALERT SOUND ON EITHER DEVICE. WHEN I DISCONNECT THE WATCH FROM THE PHONE, I GET TEXT ALERT SOUNDS ON THE LOCKED PHONE AGAIN LIKE I ALWAYS HAVE.

So I don't need instructions on how to work the Notifications settings. iPhone user since 2009. 😎 That said, any idea how I can fix this?

Thanks!

DM