Setting an alarm using Siri on Apple Watch does not set an alarm on iPhone
Unfortunately, this is just how the Apple Watch handles alarms and timers. You can set an alarm or timer on your iPhone and get it on both your Apple Watch and iPhone, but an alarm or timer on the Apple Watch only goes off on the watch.

If this is something you are interested in having added in future iOS releases, perhaps send some feedback to Apple via this form. No guarantees on effectiveness of these feedback forms, but it's certainly better than nothing.