Really??? What sense has it? If delete a email on iPhone it disappears on watch. Why is it different on messages???
There is a big difference with E-Mail. Most email accounts are IMAP which mean they are Server Based, so the actions you take on one device are mirrored on all platforms. If your email was setup as POP (I don't know who still does this), then deleting an email on your iPhone wouldn't change on your iPad or desktop.
Now take SMS/iMessage. If you delete a message on your iPhone, does it also delete on your Mac or on your iPad. No, it doesn't. This is supposed to change when Messages in the Cloud is implemented. Since the Watch is a device that can receive an iMessage on a WiFi (or LTE if you have LTE) without being directly connected to your phone, it is a device that currently maintains its on storage of messages and are independent from what's stored on your iPhone. Remember, emails do not work over LTE without an iPhone. The watch always pulls the emails from the phone when the app is opened, so those apps are directly linked, unlike Messages.
May be because I’m on Beta on my iPhone & IPad but when I delete a message on my iPhone if ask if I want to delete on other devices. It doesn’t delete from my watch though. I hope this is fixed in the near future. I like the way it deletes from my other devices, saves a step.