Got a better idea? Because I was thinking the same reason why it won't work. As a matter of fact I was the first one to mention it in this thread.
I am running the iOS 8.4 beta, and can confirm that Hey Siri works properly...
With watch on wrist, and phone on dock (charging), here is the behavior I observe:
With watch face off, Hey Siri responds on iPhone. Watch ignores it.
With watch face on, Hey Siri responds ONLY on watch. Phone ignores it.
Works exactly as you would want, and 100% seamless. Very nice implementation, in my opinion.
So, I suspect it IS a bug on 8.3, and once 8.4 is released, all will be well with the world.
I don't think something else is an issue, I think what you said is probably the case here. My watch arrived today, so when I put it on charge alongside my iPhone 'hey siri' wasn't working, nether for the phone, nor the watch. I just took both devices off the charger and 'hey siri' works flawlessly on the watch. As RGloverii said, it's probably a bug in iOS 8.3, so can't wait for patch in 8.4.