Please test and report back, right now it's really frustrating. Email is a big part of my life (and apple devices)
OK, here is what I think is happening. (Spoiler: you won't be happy with this)
When you read a mail message on the watch *notification* screen, it does not mark the mail as read in the mail app. Unfortunately, the notification screen "thinks" it is read and doesn't provide us with a "mark as read" option...and it should. This is probably a bug/oversight/something.
The work around:
To force the watch to mark/sync the email as read you have to open the email in the mail app. Either by clicking on the mail icon above the message on the notification screen or by opening the application separately (by Siri or from the applications area). In the mail app, make sure you are seeing the list of emails. Tap on any unread email and that email *will* (eventually) show up as read on your idevices.
Again I suggest sending in a bug report.
Now I need a drink...