Apple Watch and MyFitnessPal not talking to one another
This may sound silly, but since everything is okay according to Apple and MyFitnessPal, are you actually doing any exercise? Let me explain…

If you’re not telling the Apple Watch that something you’re doing is to be counted as exercise, then the data is probably not being recorded in the way MyFitnessPal wants in order to see it as exercise. 

So, to solve this, try using the Workout app on your Apple Watch the next time you’re doing exercise (even if it’s just a walk) and see if that is recognised as exercise in MyFitnessPal. If so, you should then get credited the calories for the exercise you’ve done.

As for the normal everyday steps you’re doing from walking around etc, while MyFitnessPal is showing you an indication of these, it’s probably not going to count any calories associated with these steps as it's already factored that into its calculations for how many calories you should be doing on each day. 

What I mean by this is that when you set MyFitnessPal up you would have entered your Activity Level from one of four choices: Not Very Active; Lightly Active; Active; and Very Active. So the app has already factored that into its calculations. On the other hand, when you actually do some exercise, this will be seen as over and above what it’s already calculated. 

In a nutshell, using the Workout app on your Apple Watch should track the data that MyFitnessPal will except as ‘exercise’.