Maybe, but on the flip side, I'd hate to accidentally delete a thread of messages on my watch and I'll never be able to retrieve them from anywhere else.
It's another set of tradeoffs. iMessages and texts aren't very data-heavy anyway.
You could also set them to auto-delete from your phone after a span of time. I've set mine for 30 days. If I haven't quickly saved the information that someone sent to me, it probably wasn't very important anyway.