I have a version 3 Apple Watch synced with my iPhone X and I also have and iPad Pro 10.5. The Apple Watch is at watchOS 4.3.1 and the iPhone and the iPad are at iOS 11.4. My messages in iCloud are deleting from my iPhone X and my iPad Pro 10.5 but do not delete from the Apple Watch. Does anyone know why that is the case?
watchOS 4 doesn't support Messages in Cloud. Perhaps Apple will add it in watchOS 5. We'll know on Monday.