I went down this rabbit hole earlier today when it happened to me and found an explanation.
Explanation from Reddit:
Apple Watch is optimized to allow notifications, and while they offer more interactive ability for IPhone users, Pixel and other non IOS phones have to get them too. There’s no way to block text messages directly in the Watch settings, it follows whatever settings you’ve set in your iPhone. iPhone allows you to block emails, but that’s from the Mail App (which is simply a front end so it’s adding instructions to the actual servers, IIRC), while the Phone (App) can only block phone numbers.
But, there’s a (very old) loophole scammers can easily use from their (basement, sweat shop, call center, Starbucks) computers: “email” to text, which is still available from all carriers (fyi, ATT will disconnect it in June 2025, VZ at least lets you opt
out of having it active). One tab opened to the carrier’s website, another to the latest data breach dump: the scammers can copy paste on autopilot. So it’s neither an email nor a SMS, it’s a message sent directly to your device phone number from your carrier’s website. Yet, AFAIK the iPhone only routes calls, SMS, and iMessages (including those from iPhone users iCloud email addresses) to the Phone and Messages apps respectively and so these carrier website routed messages may not appear there, but probably would on that carrier’s “feature” and “dumb” phones.
The Apple Watch, having to function with all smart phones, allows notifications liberally, limited only by paired smartphones that can either block numbers or email addresses, including these carrier delivered messages (only masquerading as sent from emails, ie whatever text
looks like an email address to the “From” box’s code is accepted) sent from their
own website to their customers’ devices as a faux SMS. Yet since it’s not an actual SMS from an actual number it’s not recognized by the Messages app, while to the Watch it shows up as a carrier “message.” As far as I can tell, that’s what it explains it.