Messages on the Apple Watch are not sync'd to iCloud Messages. Messages on the Apple Watch are mirrored to and from the AppleID trusted device which is your iPhone.
What this means is if your iPhone gets a message, your Apple Watch gets a message. If you send a messages from your Watch your iPhone gets it. Once your iPhone gets it its sync'd to Messages in iCloud (if you have that turned on).
It seems complicated but basically the Apple Watch does things the way iMessage used to work. Which means if you delete messages on your iPhone or on your Watch the other device does not show this. And this is for good reason, the Apple Watch has very limited storage space and messages could easily fill it up so Messages on the Apple Watch are automatically deleted after 15-30 days (mine go back to Mar 14th). If the Apple Watched sync'd with iCloud it would be deleting all your messages without you being able to stop it.
That is why your options on the AW are Mirror the iPhone settings or Custom mirror the iPhone.
The Apple Watch can work independently of the iPhone through its only wireless connection. The iPhone doesn't have to receive the message for the Watch to get it. And depending on your cellular provider you can get SMS as well without the iPhone being around however I believe it needs to be on.
The AW still HEAVILY leverages the iPhone. Assume most of its capabilities are coming from the iPhone, not iCloud (not always the case but a safe bet).