I have the same issue with an Alpine ILX-107 radio, iPhone 12 pro (14.2.1), and Series 4 Watch (7.1). It only happens when connected wirelessly to the radio. If I disable wireless Carplay on the radio and phone and connect the phone with a USB cord to the radio, my watch will ring after leaving the car. I have not found any way to make the watch ring after a wireless Carplay connection other than a power cycle of the phone.