That's not true, at least not always. I have an Apple Watch and have to do the VPN authentication thing for work via a phone app. Both the phone and the watch display the notification (because I haven't turned that notification off on my watch). It doesn't hide it just because it shows up on one or the other. The only notifications, other than that, that I receive on either my phone or watch are messages (SMS/MMS, iMessage, WhatsApp, Signal, because we can't have enough messaging apps) and phone calls. They display on both devices. And I mean display, my phone display turns on and shows me the message, and my watch buzzes and shows it as well.

I'm wondering if there's a setting that would cause this.