I am having the same problem, and no, I did not get it wet. The haptic was working fine, and then today (one week after I received the watch), the haptic stopped working on Messages. I still received the light taps reminding me to stand up, and email messages seem to trigger a light tap (even though I had the setting on Prominent). I had the haptic set to Prominent for Messages, but it either did not trigger when I received a message or it did not trigger at the Prominent setting. I rebooted the watch (for those of you trying to figure out how to reboot, see Restart or reset your Apple Watch - Apple Support), and I rebooted my phone, and now it is working again.
However, given that others have experienced this problem and rebooting only seems to fix the problem for a little while, I am waiting to see if/when it happens again. The only other thing that I can think of is that I did not wear my watch for two days (left it on the charger). It was working fine before the two day hiatus. That shouldn't make a difference, but does it?????