Hmm. I guess I’d try:
1. Restart the phone and the watch.
2. Turn alerts back on and then back off for each conversation that you want to dnd and see if that changes anything.
3. Delete the conversation completely and then turn off alerts again after you receive the first new message
4. Nuclear option: unpair the watch, then pair it again.
One question: are the problem message threads SMS messages, iMessages, or does it not matter? (FYI, I have alerts off for two different groups, one of which is sms, one are all iMessages, and neither alerts me when new messages arrive. However, it’d be interesting to know if there is a pattern.)