Hey,
I think I found solution for this issue and here is how. Go to
1. Settings in your iPhone
2. Mail
3. Notifications
4. Favourite Mailboxes ( think they added this setting recently or I just didn't see it before)
5. By default there was no alert type selected. So make sure You allow notifications and select alerts.
6. Sounds
7. Select Alert tone you want and select vibration (default is none for some reason...)
8. After all this go to Watch app in your iPhone and choose mail
9. Mirror iPhone
After I did this I got notifications from email and red dot was persistent and I could read the email again if I had miss the notification. I don't remember seeing favourite mailbox setting before but it actually says in setting: "Favourite Mailboxes Settings will override all other mail notification settings". So I think Apple Watch was mirroring this setting and because by default there was no alert type selected thus no notifications in Apple Watch.