Like Annie and the OP, there are times when I don’t get audible alerts but for me it is specifically for text messages. And this is definitely not focus mode related.
I can say that if i have a text conversation open->my phone goes to sleep->the person in that conversation texts me back = I don’t seem to get an audible alert on my iPhone or the message to pop up on my watch. (If I go into messages on my watch, the message is there). This may be expected behavior for an open conversation, I’m not quite sure.
But even tonight I had multiple text (three) conversations going on simultaneously. If between messages i set my iPhone down long enough to go to sleep, whether iPhone gives an audible alert or the message pops up on my watch does not seem always/uniform. Due to a band issue I didn’t wear my watch for about a week. It seemed like this issue did not happen during this time (seemed…though I can’t say for sure). An iPhone-watch paired inter communication glitch??
Fixed with a menu setting ‘Alert For Incoming Messages: Off, Always, Every! Single! Time!’