I have recently setup an iWatch 6 with O2. My current iPhone Xs is using an eSIM. For some strange reason my watch cannot receive standard text messages. iMessages appear to come across without a problem. I realise these are linked to iCloud and work in a different way to normal texts. I have read others having similiar issues, however after doing a Live chat with O2 I don't think I have missed anything. I'd be interested to know if anyone else has had the same problem and managed to solve it?
eSim has been known to cause some issues, so that may be relevant.
The only requirement to receive sms on your watch is that your iPhone must be on and connected to either wifi or data (it does not have to be nearby).
I have no affiliation whatsoever with O2 or any subsidiary companies. Comments posted are entirely of my own opinion. This is not Customer Service so we are unable to help with account specific issues.