This happened to me and i had to contact apple support.
To be honest, it eventually started to work but theres something that isn't particularly obvious (though its clearly stated in the settings...)
You will NOT get a notification on the watch if you phone is unlocked or in use. Its not the same as a text arriving and notifying on the iPhone, iPad, and iMac at the same time - on the watch it does not.
So, be sure that your iPhone is not in use and locked - then when a text arrives it should notify on the watch.
When you think about it it makes sense and saves battery this way. I do think its causing a bit of confusion though.