Never made sense to me but this is how it is supposed to work.
I believe this was to help compensate for the slow performance of the Watch and the reliance of apps being on the phone and not the Watch.
If someone has a complication for an app, they want to see it frequently. And glancing at the Watch, the complication should display the current information. This means the app has to refresh in the background, whether the app is on the phone or Watch.
It just wouldn't do to touch a complication and have to wait for an app to wake and refresh and display the info. Having the app refresh in the background because it's complication is part of a Watch face means the user doesn't have to know/remember to engage it on the phone.