I feel Apple made an oversight and had forgotten to enable Messages on iCloud syncing capabilities for Apple Watch. This could have been executed properly if watchOS supported this along with iOS and macOS. When Craig was announcing this feature, he said Messages on iCloud is only for iOS and macOS, presented on the keynote as well. It’s no wonder my Apple Watch didn’t update when I delete conversations on my iOS and macOS devices. Very unfortunate. We’re already incapable of deleting specific messages on Apple Watch without having to delete the entire thread.