Hi there. I came across this while working with a Samsung rep via the chat. I at first thought this was a setting on the notifications, but after some remembering of the Watch 3 (That I just traded in for the watch 4), the setting you're speaking of came to mind.
Regardless, this is what she had to say about the issue from her end. I hope this is helpful to whomever needs an answer to what may be happening with notifications.
These tips on clearing the cache and/or toggling settings are pointless. The OP is correct, Samsung chose to remove the basic setting that's been on every Galaxy watch since 2013 that allowed notifications to come through even while you weren't wearing your watch. It's the same setting that's stopping ALL of us with tattooed wrists from being alerted to any notifications. They come through, you just don't get the sound and/or vibration. Samsung reps have guaranteed it will be fixed in an update, but that could be next week or next year. I've attached a picture showing the setting that was stupidly removed on the galaxy watch 4.
