(I wear a Garmin Forerunner 235 for running and a Apple Watch Series 4 otherwise)
Garmin Connect writes a single sum total of active calories that is associated with a day-long time range. The Apple Watch, on the other hand, writes many point-in-time entries as the active calories accumulate. The built-in iOS Activity app is therefore not able to multiplex Garmin Connect data with Apple Watch data (and/or other sources) regarding active calories, and ends up excluding Garmin activity data. (On the other hand exercise minutes are multiplexed correctly, because the time range / time stamps are correctly associated with the source data.)
Please fix this by writing active calories as point-in-time data to HealthKit!