Correct. Messages on Apple Watch do not sync with iCloud, or even your phone. Basically, messages are pushed to your watch and that’s about it. Deleting the message from your phone does not delete it from the watch, and vice versa. The watch also only holds the last 30 days of messages.
Now your unread count does seem a little odd. That should sync with your phone. Did you happen to receive and delete those messages from your phone while you weren’t wearing your watch? That’s the only thing I can think of that may have caused it. Also, check that Messages in the Watch app is set to Mirror your iPhone.