Oh yeah, just discovered this amazing feature myself on my first Watch ever. To watch and delete every message that I want to delete on three of my devices is simply amazing and I love how Apple is making me do it and stay more active.
Sync works flawlessly for incoming messages, but is borked when deleting messages. I have been deleting messages separately on iPhone and Mac for so long I have forgotten about it. It used to be very simple, very reliable - deleting on one device deleted on other reliably. No longer, for God only knows how many years.
And now, I have an Apple Watch where I think I should set a weekly reminder to delete messages and somehow make it work with Activity Rings for physical activity. I will need to use the Mindfulness and Breathe apps afterwards anyway, so ...