I'm not getting haptic feedback while using headphones
Unfortunately, this is a more of an issue with watchOS itself than Strong. You should still hear the audio part of any haptic feedback when the screen is off, but it's very easy to miss this if you're listening to music. If the screen is on, you should receive the vibration component, but won't receive the audio part of the notification. watchOS doesn't have a way for us to duck music playback for notifications.
If you haven't already, you can increase the alert volume and strength of haptics by going to Watch (iOS app) > My Watch > Sounds & Haptics.