For now, that's the default behaviour for Android Wear and there's no way to control / customize to such an extent (i.e. dismiss notification on watch only but not on phone). Not sure if the upcoming Android Wear v2.0 will give users such control. It's rumored to be released sometime this week.
The most "annoying" thing so far for me, is the music control card. I use my phone to listen to music when I travel to-and-from work. As long as the music is playing, there will be a card at the bottom of the main screen (which you can swipe to control playback but cannot dismiss it). While I appreciate the ability to control music playback via the watch, the card blocks the watch face and I can't tell the time at all if I'm using an analog watch face.

Furthermore, my music stops if I double-press the watch face to access the settings (because OK Google is launched).
Edit: as daniel_83 mentioned, the cards do come back after some time. It's the same when you use Google Now on your phone; you can dismiss the cards but they do come back after a while.