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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. :)
 
Well...
It's difficult for me to say, because I'm not having the issue.
But, my iPhone DEFINITELY knows when my Watch is off my wrist.
When your Watch is charging, does it still pop up all your notifications and what not?? That seems like it would be a good test.

Come to think of it that test fails too, even though it shouldn't be one. I've noticed that it goes to the watch first regardless and then pops up on your iPhone, if left unnoticed on the watch. That's with the watch worn and while charging. Clearly a communication bug going on right now, which seems to be fixed in the 8.4 release, which will hopefully be released soon.
 
Siri on my watch works sporadically. Totally underwhelmed with the whole watch experience.

Totally with you on this one. For me, it works about half the time, and the lag it takes for the watch to show that it DID work is long enough that half of THOSE times, it doesn't pick up on the rest of my command.
 
There is a fix for Siri problems, unpair/repair with iPhone.

I had a ton of problems with Siri. "Hey Siri" almost never worked, she would freeze up, fail to transcribe, it was horrible. Then Apple support told me to unpair the Watch using the iPhone app, repair, then restore from backup. It only took 15 minutes and now Siri works great. The Watch is so much more useful now that I can do a lot of hands-free actions. All data was restored to the Watch except I had to add my credit cards to Apple Pay again.
 
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