Hello! Thats annoying, sorry.
It appears this has been a desired feature for 7 years. The most recent complaint is 3 years ago.
https://support.withings.com/hc/en-us/community/posts/360027428913-Do-not-disturb-mode-Steel-HR
I couldn't find anything in their tutorials concerning this. Double check for a scheduled DND function or snoozing notifications in the withings app or on the watch.
Maybe you can use an app like tasker or automation to turn off bluetooth at night which might lose sleep data if it doesnt save it for the next connection.
I suspect the watch monitors your notifications even if they are suppressed and it has no idea that your phone is in DND mode.
I've heard of an app called gadget bridge for watches, maybe this'll contain the solution? (If you try it, you can disable your current watch app(s) to avoid conflicts and simply enable them again to easily go back to your original set up)
If all else fails, I'd contact withings support and weigh your options, maybe another watch if possible.
Keep in mind some watches will have deeper integration with the OS for DND/sleep and some watches might not be very compatible with GOS.
I've never used a watch so I don't have further anecdotal advice.