Mac silencing consuming / stealing notifications from my iPhone / Apple Watch
This might blow a lot of people's minds. After spending hours trying to figure this out with no answers online, here's the answer I figured out.

The problem is that Calendar notifications are by default configured to be "Alerts" rather than banners. When you have a notification set to an "Alert" the device you currently have open (in the order of Mac > Watch > Phone) will steal the Alert from your other devices and you will never be notified because it showed up on your Mac. Thus, the trick is to set the Calendar notifications to be Banners rather than Alerts. In fact, you should set all of your notifications for all apps to be Banners because the Alert style breaks the whole purpose of your Apple Watch. The whole point of the Apple Watch is that it's on your body and lets you know when you need to notified. But if you have any notifications set to Alert rather than Banner style, your notifications will be stolen away from your Watch by your Mac.

I'm puzzled by the lack of documentation and information on this subject from Apple.