How do I report suspicious messages only appearing on Apple Watch?

Hi QuriousEye

welcome to this Apple (user-to-user) Community!

Am no expert on security ... yet Apple support provides online articles (links below) that may help guide you.

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Re: " Fraud Messages on Apple Watch "

See if Apple support's online article can help:

How to: Recognize and avoid social engineering schemes including phishing messages, phony support calls, and other scams - Apple Support

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Re: "is there a way to report this issue to Apple Support to seek help and resolve this issue?"

Yes: Scroll to: How to report suspicious emails, messages and calls in above article.

Also:

See how to: Get help with security issues - Apple Support

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Re: Is it possible that my Apple Watch device id is compromised

You could be allowing apps etc. to send fake notifications:

See about: Notifications on your Apple Watch - Apple Support.

or

If you believe that your Apple account (Apple ID) has been compromised, change your password immediately. Change your Apple Account password - Apple Support

All the best :-)