This exact same problem happened with another recent IOS update. I have an apple watch and it receives the notifications, but not my phone. My notification settings have not changed, only the IOS update. Last update I contacted apple support quite a few times and even went into the store to get support. Nothing worked and my notifications settings were exactly as they should be. Last time I had to wait for another update for it all to work as it should.
Apple support need to work on a new update ASAP to get this working for everyone. Otherwise, get rid of your apple watch as you will never receive notifications until this is sorted.