The opening statement in the Apple support doc that you referred to says: "Your Apple Watch uses Wi-Fi and Bluetooth to communicate with your paired iPhone, switching between connections as needed"
Here's another quote from another Apple Support document: "If your Apple Watch and iPhone are on the same network but aren't connected by Bluetooth, you can also do the following on Apple Watch without iPhone: *Send and receive messages using iMessage"
This all implies that the Watch cannot send Messages without an iPhone (Whether connected via Bluetooth or Wifi)
That support document may indicate that but the Watch does extend further than this. I can imagine it is a bit confusing but right now Apple Watch is both it's own standalone device AND an iPhone companion. It requires an iPhone for 99.95% of all tasks, Messaging being an exception of this. (I retract my earlier statement of being able to receive Mail without an iPhone – this still requires a connection over Wi-Fi or Bluetooth).
To test this; am I connected to my work's Wi-Fi network. I have placed my iPhone into Airplane Mode but left my Apple Watch available. It displays the "No Connection" icon, however, when sending myself an iMessage from the different Apple ID I use from my server at home, the Watch received the message no problem.
Also, the "mirror iphone" option is under Notification settings for Messages AND under Message settings (They are separate things)
For all intents and purposes, any reference to "Mirror my iPhone" within the Apple Watch app only refers to the mirroring of settings for the app or notification; not the mirroring of content – which is assumed as most tasks require the iPhone, Messaging being a major exception here. One confusing issue here is that the settings under Apple Watch.app > Notifications for system applications are also duplicated under the app settings for each app within the main menu of Apple Watch.app. The Messaging "Mirror my iPhone" toggle are the same setting and simply define how many times you wish to receive alerts for unread messages and if to send 'read receipts'. In no way shape or form is it referencing mirroring content, again, as most content (messages withstanding) is pulled from iPhone.
Apple Watch DOES keep Mail in sync, just not Messages (at least in my case)
I understand that iMessages aren't kept in sync across all devices....however Apple Watch does not fit into this category....otherwise why is the settings option to "mirror iPhone" there for Messages
This is not a bug; and it is simply how Apple Watch (and all other Apple devices) function with iMessage. I have 5 devices capable of receiving iMessages, all on the same account: a MacBook Pro, an iMac, an iPad, an iPhone and a Apple Watch. NONE of them are in sync with each other once the message has been delivered to all five. If I delete a message from one, I have to manually delete it from the other four.
In essence, whilst you are correct in saying that Apple Watch it is a companion device; do not treat it as so for Messages. It can, and will, receive Messages when connected to a known Wi-Fi network but not connected to iPhone. Again, when setting up Apple Watch, it notifies other devices that a new device has been registered with iMessage; a dialog that wouldn't be required if the iPhone simply handed messages over to the Watch instead.
Futhermore, Apple Watch sends it's messages from a different address than that of the iPhone, at least in my case anyway. I've got my iPhone (and every other device) to send from my phone number. If I dictate a message to my watch, the recipient receives it from my email address.
This is clearly a problem.
This depends entirely on how you look at it. As an iPhone companion, yes, if a message is deleted from iPhone, it should be deleted from Apple Watch.
However, because Apple Watch can function as a standalone messaging device, it is treated in the exact same manner as Apple does it's other devices. It just does some clever trickery that when a message is received by iPhone, it will not announce it's presence if Apple Watch is connected (assuming Apple Watch will download this message itself).