This seems to have started after I updated to version 10. A text message will come in, and after reading and deleting it it on my iPhone, the badge with a "1" indicating an unread message still shows on the Messages complication on the Watch. If I open Messages on the Watch, I can briefly see that message, then it disappears (presumably because I deleted it on the iPhone), but the unread message badge remains. Only way to clear it is to restart the Watch.