That's been a feature of all Apple Watches since the first one launched on April 24, 2015.
Having owned several AWs since that date, most recently the AW6 I got yesterday, I'd highly recommend either an AW5 or AW6, simply for the Always On Display, which the SE doesn't have.
edit: just to clarify, it doesn't actually "vibrate" your wrist. It's more like a subtle tapping, and it's easy to miss, especially if you're wearing gloves in the winter months, or sleeves/cuffs that touch the watch. There's a "Prominent Tap" option, that beats the crap out of your wrist EVERY TIME YOU GET A NOTIFICATION, which as you may have guessed, I'm not a big fan of. Also, I've heard that the Taptic Engine feels somewhat stronger on aluminum-case watches, whereas the stainless steel (which is all I've ever owned) is heavier, making the taps less pronounced.