I have had the same issue since the iOS 12 and watchOS 5 updates and it has been driving me crazy. I’ve been dealing with Apple support and engineers and just running in circles!!! I followed the advice of someone on this thread and it somewhat worked. On my phone settings, under sounds and haptics for new mail, I had to change it to an actual vibration (couldn’t use none, although that’s what I prefer) then on Apple Watch app had to go to notifications, then mail and choose mirror versus custom. Once I did that, I got haptic mail notifications on my watch! Definitely a bug, but happy for a temporary work around to get haptic mail notifications on my watch.