I have the same issue. Also...and possibly related....the mail app on the watch does not correctly synch with the phone if it has to re-connect after being separated. The watch mail app never deletes any messages that were deleted while watch and phone were not connected.
Might have a workaround. Noticed on my watch mail app that inbox, vip, flagged and unread were all checked off. I don’t even remember the ability to do this. So, shutoff all but inbox and it seems to now sync correctly. Anybody confirm?