Is this new or only if you own a Watch? Because if I'm on my MacBook and an iMessage comes though, I get it on all five devices (computer, iPhone, iPad, and the two other iPhones in our family that use the same account).
If you ever see anything whatsoever that can be improved about how things work on Apple platforms, it's always good to file an enhancement request through Apple's bug reporter site: http://radar.apple.com or http://bugreport.apple.com (both links end up at the same place).
And if that's a bit too techie for you with all the form fields that are designed for developers, there's a consumer-friendly site that similarly allows you to submit suggestions including enhancement requests at https://www.apple.com/feedback/ .
Completely agree. I've been an iOS developer for about five years now, and they really do respond to radar reports. One of the better companies on that front.