I'm beginning to suspect this delay has something to do with the 'continuity' features of iPhone, iPad, Mac.
For me, the Watch notifications are often instantaneous, while at other times delayed by as much as 10 seconds or more. It seems when my phone hasn't been touched for a while that the notifications are 'instant'. Since the notifications on the WATCH will NOT chime/tap you if you're looking at your phone, or have Messages in the foreground on your Mac, I suspect it's sometimes stuck in a loop ensuring that those parameters have been met before displaying on the watch.
Just a hunch.