How can I only delete messages on my Apple Watch but not on iPhone?

I'm afraid, Apple changed this in the new iOS 18 and watchOS 11 versions, so that changes are reflected across all devices, just like iCloud Photos.

However, if you use the Feedback link, you can tell Apple directly about your wishes for future watchOS updates.

This is the only way to reach them, as Apple does not follow theses user to user communities.

Feedback - Apple Watch - Apple

This will be difficult as the watch is likely a second screen for your iPhone