When your iPhone is paired with an Apple Watch, you will receive the Safeguard alarms on the Apple Watch. This alarm will be received on the watch as a short vibration. This way you are informed that an alarm is in progress.
The sound signal that you normally receive on the telephone with a Safeguard alarm will not be sent.
If you still want to receive the sound signal on the phone, you should disable the notifications for Safeguard in the Apple Watch app.
You can adjust this using the steps below:
Open the 'Watch' app on the phone
Press 'Notifications'
Search for Safeguard in the list of apps and disable the notifications
Now you will receive the Safeguard alarm on the phone.