The Watch is a companion device. There isn't enough storage available for it to remained sync. Also the messages are automatically deleted after ~30 days on the Apple Watch. Plus the messages aren't actually identical, for example images have reduced resolution.
Combine those things and you'd Apple Watch owners would have more of a burden on their hands than a blessing. If messages sync but automatically deleted after ~30 days then ALL your iCloud devices would lose messages after 30 days and all your devices would be limited for message storage by the Watch. Plus it would be using more iCloud space since the Watch has a low res version of pictures.
That said I don't think a delete sync is out of the question. It wouldn't be quite the same but might be better than nothing for many people. Personally I don't care about messages on the Watch, read them, respond if necessary and let them automatically delete.
......
I did have a problem with Messages in iCloud though. It was using 4.9gb iCloud space even though I only had 200mb on my devices. When I disabled and deleted the storage was immediately returned. Turned it back on and everything was perfect.....almost.
On my work iPad I had a notification badge for 2 unread messages with no messages.
Tried everything, no messages on any other devices, closed and reopened app, turned the notifications off and back on, reset, had messages sent to me and tried "edit" "read all". In the end I had to restore from an iCloud backup which seemed to fix it.