The get the messages after the watch is paired. If you have your iMessages in the Cloud they might sync over. I know with the Mac and iPads you get your messages sync. You may have to add a message to the thread to see the previous messages.
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).
Thanks for the insights. Yeah, Apple Watch just get messages from the phone and it does not synchronize with iCloud. For me, message does not use that much storage space. A year worth of message for me is about 55MB. The capacity of the watch I have is 5.2GB.
I am not sure that Apple Watch automatically delete message after 15-30 days. And I don't think that will delete message on my phone. I have SMS and iMessage on iPhone and MacBook dated back to January 2018. If Apple Watch behave as you described, I would not have these old messages as of now.
I was saying IF it was sync'd with iCloud it would delete your message. However it is not so its not something to worry about. I'm not sure how messages are removed from the Apple Watch because I haven't been deleting them but they seem to disappear off the watch (not phone or iMac) 15-30 days.
If your watch isn't new get on and scroll all the way to the first message, what's the date?
Oh, I see. I misunderstood what you meant. Now that makes sense to me. I recently got a new iPhone so the watch was set up new. Therefore, I only have the message since I got the phone last week. I guess I can report back in a few months to see what happens.