Scroll through your Apple Watch notifications. Notice that sometimes the icon attached to each notification is square, sometimes it’s round.
Mac Kungfu explains why:
Round notification icon: If the icon is round then it’s a notification you can action on the phone because you’ve a Watch version of that app installed. For example, if it’s a Mail message then you will be able to tap the notification to reply to the mail there and then.
Square notification icon: If the icon is square then there is no Watch app for that particular notification. Essentially, the notification is being “echoed” from your iPhone, and all you’ll be able to do is tap to dismiss it.