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Do you, at least, get the haptic tap? Or are you not notified at all when Mac is open/on?
 
Tip:

Use Hot Corners to put the display to sleep when you put the mouse in one of the corners (I choose the lower right).

When you step away, just move your mouse into that corner and notifications will be redirected elsewhere first. It doesn't even need to be an accurate maneuver, just as long as the cursor is caught in the corner.

Since i haven't used a screensaver in years, I always manually turn off the display like this when I plan to step away for an extended period of time. It's a good habit along side the correct routing of notifications.
 
I think as long as Messages isn't the active app you will get notified.

To expand on this, I just did some experimenting with my wife's phone sending iMessages to myself, and the only time I was NOT notified on the watch was when the Messages app was open and the thread with my wife was selected (meaning that any new messages would be marked as read as soon as they came in).
 
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