When I first got my watch it vibrated for all Textra messages, it didn't matter if my phone was on vibrate mode or audio mode. Now it doesn't matter if the audio is on. I think we should have a separate vibration setting for the watches to set when it vibrates just like we have for the phone. I know personally I'd like the watch to vibrate when my phone isn't set to vibrate mode. Basically add the following settings;

Android Wear Vibrate

Always

Yes (except phone on silent)

Yes (only when phone on vibrate)

No