The Apple Watch is a companion device as Apple would call it. It has iCloud functionality with calling, messaging and find my iPhone (watch) however thats it. All other iCloud type task it does (photos, music. back ups, etc) are done through the iPhone.
There are a few issues in the way Messages on the Watch behaves that would make it very challenging to sync messages to iCloud and they all revolve around storage capacity.
On an iOS and MacOS an image or video from one to other is a mirror image and fully functional. That is not the case for the Apple Watch. Since the screen is so small you can't notice the lossy compression. Keep in mind this messages in iCloud is for syncing and seeding to devices, not backing up. All the information has to be the same.
Watch OS automatically purges messages after ~30 days. This is a problem because if the Watch was syncing with all your devices you would be losing all your picks that are older than 30 days.
The alternative is just as bad. If you could remove the automatic message purge and then you are limited by the amount of storage available on the device with the least. Or at least they are syncing very well at that point.
Apples way of doing it is my preferred method anyway. While I completely understand how annoying it would be to delete messages from the Watch I just let them delete themselves and never worry about.