Apple Watch Heart Notifications & Sleep

I have set up my Apple Watch and iPhone to provide notifications regarding my heart, and more specifically, to this question, high and low heart rates. I also use my Apple Watch and iPhone to track my sleep and have a sleep schedule set.

I've found that when my phone is in the "sleep" focus mode, any health (heart) notifications that come during that time are silenced, and I wake up in the morning to see the notifications when sleep is turned off.

Why are these notifications not coming through? It would seem to me that these should break through the "sleep" mode and alert me. These alerts should be presented at all times, regardless of any mode or silencing.