Checkers
I can replicate what you have done and it will send notifications to both devices by turning off Bluetooth and using WiFi.
I guess my real question is; although the notifications are not intended to display or push to the watch while the phone is unlocked, is the current design to only push to watch and not to the phone as well? I get notification on my Mac for iMessage and also on my watch. the notification just doesn't notify on the phone. In addition, reminders for calendar events or tasks also act the same way as iMessage. Notifications on watch and other devices are audible and on display, but again not on the iPhone (which they were prior). Which may lead me to think its WAD. That being said if it is WAD, then why was it acting differently before. Even with 9.1 and 2.0.1 it was working this way until I sent my watch to apple support with issues on my HR monitor. They only re installed software on the watch and now the change to notifications has occurred.
Any ideas of how to revert back would be helpful. I don't feel its feasible to continually toggle off BT.
Thanks,