There are no settings -- Aqua mirrors its notifications to the watch, proper "Wear" style, with a "stream of cards" showing each message separately, per-message action buttons, replying, etc.
I don't happen to own an Asus ZEN Watch, but just took my basic LG model off the shelf, checked for updates (and it did update -- to LZ22, I guess that's 5.1)... no issues, working fine with a Nexus 5, also running 5.1.
Another user reported ZEN issues a few months ago, and IIRC, he fixed them by reinstalling the Wear app on the phone and resetting the watch to system settings (you'll need to pair it again).