Here is what worked for me.
Hi,
I never had this problem until I moved over to an iPhone 7 and I could not figure out how to get it back. Prior to this, the processed worked exactly like Apple described it. Notifications on your Apple Watch - Apple Support
Since upgrading, my main concern was with apps like Whatsapp and instamessage messages going completely silent on the phone and watch even though everything else would notify me. I tried many apparent 'fixes' and settings change but in the end, after two months of disappointment, I found "my" fix today.... 'force restart' the Apple Watch...!!!
You do this by pressing and holding both the side button and digital crown for at least 10 seconds until the apple logo appears. Restart your Apple Watch - Apple Support
Since doing this, my problem is gone and the notification sound process works as I remembered. Hopefully it last long term and I won't have to force restart every time just to fix this.
(p.s. for a few minutes after the force restart, I was getting sound notifications on both the phone and watch at the same time even though the phone was locked and the watch was unlocked and on my wrist. It did not repeat after a while though)