If I get a message and I'm on my iPad I still get the message lighting up and ringing on my iPhone and mac. Not with the watch I don't. This is my point.
But the watch IS different, because it's always on your wrist.
Without the watch, all iOS devices light up and beep, because they aren't aware of where you, the user, is in relation to them.
The watch is on your wrist, so logically, that's where you will look at the notification. In these cases, its a good thing that all the other devices don't light up and start beeping at you, because it would be redundant.
Should there be an option to override this behaviour? Perhaps?
But I think it has been designed to be better than that.