Your watch and phone are doing exactly what Apple designed them to do. You get notifications on your iPhone if your screen is on and active. If your iPhone screen is locked, notifications come to your watch. You don't get notifications on both, even if that's what you'd like as Apple designed it to work this way.
Read this link about notifications on Apple Watch and read the first statement at the top about where notifications go --> Notifications on your Apple Watch - Apple Support
Since this is a user to user only forum and Apple doesn't participate here, you can let Apple know you may not appreciate how they designed this work, by using this link --> Feedback - Watch - Apple
Ps: Since you using Haptics on your watch, you might want to go into sounds & haptics on your watch and change the setting to Prominent. I never miss a notification on my watch, with Prominent turned on.