On the iPhone, open Settings app, Notifications > Messages > scroll all the way down to Customize Notifications, turn Allow Notifications from Unknown Senders off.
Then go into the watch's Notification settings, and make sure it's set to mirror your iPhone.
Hopefully that'll prevent you from getting notifications for spam messages.
As for not getting notifications from your Favorites, Message has always been hit and miss about showing up on all devices. My mom complains that messages from me show up on her watch, instead of on her iPad, which she prefers. We never did figure out how to get Message to prioritize the iPad. 🤷♀️