If you are on an Android phone, you can set the DND / sleeping time on it as well. I have DND scheduled on my phone from 22:30-06:30 and not a single notification goes through during that time.
I'm not using this function, but I noticed something changed on iOS: I'd switched off blutooth connection in my sleep window. No watch update installed, but suddenly I can sync my watch in the middle of the night if I don't disable blutooth on my phone. No idea what happened there. So I guess notifications would also come through if I'd used them. This seems to be a recent thing.
Do you turn on Battery Saver mode during your sleep window? What is set for phone connection there?
Yes, it's set to battery saver, and phone connection was originally switched off there. And I just checked the settngs on the watch: battery saver is still enabled in my sleep window (yes, the watch face changes), and battery saver still includes Disconnect Wifi, but I don't find anything about blutooth. Hmm..