Not all notifications will appear when your phone is off, especially if the app doesn't have a native Apple Watch app. In this case it is simply because WhatsApp is not running when your phone is off.
The same applies to SMS text messages: you can't send or receive SMS messages from your watch unless your phone is connected to your carrier's network, either by cellular or Wi-Fi. (It could be miles away, sure... so you could leave your phone on and at home and you would still get all your notifications and send and receive SMS messages... but the phone has to be on.)
Apple
says this in the small print:
To receive SMS, MMS, or push notifications from third-party apps on your Apple Watch with cellular, your paired iPhone must be powered on and connected to Wi-Fi or cellular.
If you want to test this, you can turn Bluetooth off on your phone, thus simulating your watch and phone being connected to the carrier network but not connected to each other by Bluetooth.