Mine just started delivering notifications to my iPhone first this evening. I hear my iPhone notification sound (iPhone is locked, screen off), but nothing on the watch. If I wait a good 30 seconds it then shows up on my watch, but at that point I could have just looked at my phone and have no use for the watch. Up until this evening I would get pinged on the watch first. Not sure what's going on. If I have to unpair, restore, etc. it's just going back to Apple. It should "just work".
I'm probably a little more upset about it than I should be, but it's really bugging me. You had one job watch, give me my notifications more conveniently than my phone!