That is simply not true. I have had an Apple Watch since series 1 and have always deleted my messages on my watch and have never once lost a message on my phone. That is not until iOS 11 (watch) and iOS 18 (phone). There are also plenty of forms and articles to support this.
or
Are you saying in the latest updates that Apple has finally figured out how to close this issue that has been present for 9 years.
either way, I will do as you suggested and put in a bug report as an enhancement request.