Yeah exactly. Facebook has a messaging app that my wife has installed on her phone to chat with. She had it on her watch but the notifications were super annoying so she deleted the app, but continues to get all notifications from her phone onto the watch. And snapchat apparently doesn't have a watch app but she's getting notifications for this as well.
Can you double check it?
Here is how notifications running in watchOS. There are two kinds of notifications. Local notification and mirrored notification.
Local notification is the notification that the apps in the watch call. If you remove the app in your watch, this will stop.
Mirrored notification is the notification your watch gets from your iPhone. If you disable it in the Watch app on your iPhone, it will stop.
There should be no other notifications on facebook.
Besides, you said facebook is a message app. It is not. Facebook is an app you can see your friends' photos and journals. The message app is isolated as "facebook messenger", please check if this is the reason.