It seems quite recent (since 21.22 recent upgrade)
My watch only gives me a notification when an alarm triggers on my phone.
Before, i guess it was a smart notification, it made my watch vibrate until I stopped the alarm ( I could stop it from my Forerunner 255. I still can, but as a mere notification )
I've checked the DND settings, I'm out of its range,
the notifications settings on "Notifications and Alerts" , vibration settings are enabled in general and during an activity.