Do you have 'show previews' turn on in the notification settings of the app itself? I know that's the only way quick reply works in iMessage. You can't use it in iMessage if you have the text notification set to not hide the preview.
I have previews turned off for iMessage and my quick reply works just fine
However, Messenger settings are totally fucked. If you have previews off, you can't reply from an Apple Watch notification at all, and you can't swipe down on a banner notification to read the message, but you CAN reply to it from the banner (if it lets you swipe down at all. Sometimes it does, sometimes not). You know, without reading it
If previews are turned on you can reply from an Apple Watch notification, and you can pull down on a banner to read the whole message, but the only reply options are Mute and the thumbs up sign, NOT reply. I seriously can't believe this
By contrast, I have previews turned off for iMessage, and I can reply from an Apple Watch, pull down on banners to read a message, and reply to it from right there
I just sent them some feedback about this exact bullshit