iPhone not making sound when I get messages when I have my watch on

This is the way that Apple designed notifications to work when a watch is being worn.

The only way to undo it is to shut off "Wrist Detection" but then you'll lose a bunch of features and your watch will NOT be secure.

This design is not a "one size fits all" feature. You'll need to fill out and submit this form requesting that they give users a toggle setting.

Feedback - Watch - Apple

While we wait for the ability to toggle the notifications, try checking this setting:

From your phone, go into your My Watch app. Then click on Sounds & Haptics.

In the "Haptics" category, there's a toggle for turning on and off Haptic Alerts (I'm sure that it's already on). Right below that toggle you have a choice between "Default" and "Prominent". Throw a checkmark on Prominent if it isn't already checked.

Past that, that's all we can do while we wait.