Iphone and Apple Watch should show notifications on both devices.
I just noticed that i am not getting notification on my iPhone when it is locked. They are showing on my apple watch.
I am the kind of person who need a verbal notification. When i am busy, I do not always hear bells or dings. I have set my iPhone up to give me verbal notifications.
With the apple watch I don't get the verbal notification that I get on the iPhone.
With you next update, you need to allow both the iPhone and the Apple Watch to show notifications on both devices without have to giving up other necessary options or security on the Watch.
My suggestion is to have an option where you can have notifications on one device or both.
Apple Watch Series 3, watchOS 4.2