Coming from the 935 I can't recall this behavior, but I suspect it may have been due to the difference in operation of the notification UI. Still, this feels annoying and a possible bug.
When I get a notification on the 945 LTE it pops a sort of splash screen / icon of the app or service doing the notification (i.e. CNN) with a logo, then animates / transitions to the text of the notification.
If I press the backlight button when on the first screen (i.e. CNN with the news logo, before the text shows), then the watch seems to cancel showing the notification to me. It instead transitions back to my watchface like the notification never happened.
I find myself doing this often in more dim environments, and I don't think I'm wrong to do so or to assume it should merely turn on the backlight and continue with the notification.
FW 3.07, but believe it has been doing it since I received the watch (~2.07)