Setting that's stopping my text Messages notifications to my phone/watch while in Full Screen?

Is there a setting somewhere that could be causing this? If I go full screen in Windows 10 through Parallels, then new text messages no longer ping to my Apple Watch and/or iPhone, but when I exit full screen, it shows the badge number of the missed text messages in the Messages app on my MacBook
It seems to happen even when not in Full Screen if I have the focus/action in the Windows 10 window, so I've had to resort to not going full screen and just keeping Windows 10 in the smaller window on my main screen so I can still see my MacBook's Dock for new badge notifications in the Messages app icon.