Try this: on your phone, open the iMessages app, click on Edit in the upper left hand corner, then select "Show Recently Deleted". Now, peruse the list for any recent unread messages that were automatically filtered out of your IMessages feed. --you can restore these, and it seems to restore the historical and go-forward missing thread across your devices.
The issue seems to be more frequent around group chats. My wild guess is that if you have ever muted or left a group text, then later re-engaged, the thread was still marked as "spam". This hints at a separate problem regarding the BT push from an iPhone to the watch that does not seem to apply those same spam filters on the forwarded texts . . .
Apple, I wish you would curate and consolidate 100's of support threads on this topic. It took me repeated attempts and a 1/2 a day to surf community solutions and find this resolution.