Notifications on all devices even when using my Mac

When my Mac is unlocked, my phone, watch and iPad will not give me notifications. I'm sure this is by design... if it sees you're using your Mac it figures you're attention is there and doesn't bombard you with other sounds.

Is there a way to make sure ALL my devices send me notifications even if I'm actively using another device?

It's iMessages that are getting me into trouble. I usually leave my Mac speaker muted, but now I'm missing iMessage (and email) notifications even on the watch I'm wearing because it thinks I'm getting them on a muted Mac.