why does my apple watch turn on when charging?

If you plug in the iPhone after turning it off, it should turn itself on as well. It really isn't necessary to turn the devices off when you charge them. If you are concerned about the devices disturbing you during the night, use Do Not Disturb. Also, with the iPhone, if you configure iCloud Backup, the device will automatically backup as long as you have it connected to wi-fi, power, and the screen locked, just like you would when you plug it in to charge at night. That way if something were to happen, you would always have a current backup.

Use Do Not Disturb on your iPhone, iPad, and iPod touch - Apple Support This one for setting up Do Not Disturb

How to back up your iPhone, iPad, and iPod touch - Apple Support This one for setting up and using iCloud backup

You should be able to turn the Watch off after you connect it to the charger, but not before. I would reconsider turning the phone off as I said to make it easier to preserve your data with backups. Last thing you want is for something to go wrong and you lose everything on the iPhone.

That is how it works.