The following information is from the Apple website:
How notifications behave depends on the status of your Apple devices and your settings. With Wrist Detection enabled on your Apple Watch, in order to bring notifications to your attention as soon as possible:
- If your iPhone is unlocked, you will receive notifications on your iPhone instead of on your watch.
- If your iPhone is locked or asleep and your watch is unlocked (regardless of whether the watch screen is asleep or awake) and on your wrist, you will receive notifications on your watch.
- If your watch is locked or has Do Not Disturb enabled, notifications will go to your iPhone.