Just switched over from a Pixel 6a to 9 Pro and was not getting any sounds for notifications, just vibrations on my Pixel watch. Turned out the “Mute notification on phone” setting in the watch app was turned on. Not certain, but I think this must be the 9 Pro default setting and my setting from the 6a didn’t transfer to the 9 Pro.
Hat tip to this post which gave me the solution.
Paul Hutchinson's Blog 