This is a problem that affects a lot of people. If the Messages app on your watch shows unread messages even after checking them on your iPhone, here is what you can do.
Restart your Apple Watch and iPhone. There is no harm in trying to solve your device’s problems by restarting it, as this usually resolves most issues.
Unpair Your Devices. If rebooting your devices does not solve the problem, you can try one more thing. First, unpair your devices, wait for a few minutes, and reconnect.