Since only messages on the status bar can be forwarded to the wearable devices, please guarantee that you have allowed the app push services:
For Android users (take Magic UI 3.0 for example):
Go to settings > notifications, find the app that you are not receiving notifications from and enable its notifications.
Also, you need to go to new message notification and allow Notification & Banner & Lock Screen Notifications.
For iOS users:
Please select Settings > Notifications, select the app and turn on Allow Notifications.
This function is on when the switch next to it is green. Don't forget to choose the alert style in ALERTS.
* The actual steps for this setting vary depending on the phone's system. For details, consult your phone's manufacturers for assistance.
* If the system is iOS 11.0 or above, go to Settings > Notifications>Show Previews. Please don't choose Never, otherwise the messages cannot be pushed to your wearable devices.