Erasing messages on Apple Watch also erases them from iPhone

That was the way it worked on iOS 18 too. Using Messages in iCloud, the purpose is to have them delete on all devices when they are removed from one. The same is true when using iCloud Photos, it has never been possible to delete a photo from one device where it remained on the others that also had iCloud Photos turned on.

Here is a post from over a year ago that offers a little more insight into the discussion where previously there were user complaints that the Messages were not deleted from the Phone and it was inconsistent with every other iCloud feature.

https://discussions.apple.com/thread/255764420?page=1&sortBy=newest_first

Long ago, when Messages in iCloud was first released, it was not supported on the Apple Watch. That had been way before iOS 26 was ever released.

watchOS: Messages in iCloud does not work with Apple Watch for now. If you delete a message from your iPhone with Messages in iCloud enabled, the message will still be present on Apple Watch. If you delete a message on Apple Watch, it will still be present on iPhone.

https://9to5mac.com/2018/05/30/messages-in-icloud-faq/

You can send Feedback to Apple here:

Feedback - Watch - Apple

That is expected behavior when you have messages in iCloud enabled. It synchronizes them across all of your devices. If you don't like that, turn that off.