You can disable notifications from going to the watch per app in the watch settings (Notifications -> Mirror iPhone alerts from). But this is definitely not new.
Apple
Here you can talk about Apple's ecosystem, Apple's OSs (Operating Systems), Apple's apps, Apple's everything!!
Yeah, that’s how it’s designed to work. The only times I’ve had my phone still notify is when the watch is on my wrist but locked, in which case both will buzz but the watch can’t display the notification. I’ve had an Apple Watch since 2016 and it’s always been like that.
It’s by design because, for most people, having both devices buzz would be redundant. You’re more likely to notice the watch since it’s on your wrist
They should still appear on your iPhone even when wearing the Apple Watch, but I don't think the iPhone will vibrate/play a sound. It will however when you're not wearing your watch.
Yeah, they’re there usually, but the phone does not light up or do anything, so there is no way to know
The way you're supposed to know is that your watch plays a sound/vibrates.
I guess I like knowing things the way I want to, and not the way Apple says I am supposed to know them.
Valid point, I'm just telling you how it works. To my knowledge, there's no setting to make your phone play a sound/vibrate while wearing your watch. Maybe if you turn off notifications entirely on the Watch for each app, but I haven't tried.