This helped someone yesterday with the same issue.
Not sure how you've tried to set it up but reset the watch and follow this:
Set up the data plan from the watch setup routine and it will walk you through buying an airtime plan.
Open the Watch app on your iPhone and tap on ‘Mobile Data’.
Then tap ‘Set up mobile data’. You’ll be prompted to sign in with your My O2 username and password.
Once you’ve signed in, select your Apple Watch plan. Follow the steps on the screen to set up your Apple Watch Airtime Plan.
It can take up to 24 hours to activate, but sometimes it might take a little longer.
To check if your new Airtime Plan is active, open the Watch app on your iPhone and tap on ‘Mobile Data’. In the ‘Data Plan’ section, if you see O2 with the word ‘activating’ then you’ll have to wait a little longer for set up to complete. If you see O2 with an orange ‘i’ next to it, then you’re all set up.
@drmsa It's possible that someone in the Apple store has seen this issue before and knows how to resolve it. If you have a store nearby there's no harm in trying. If you think it's an O2 issue and the workaround mentioned earlier hasn't helped you should speak to customer service.
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