(1) is your iPhone near by or connected to the Watch via a known Wifi network? Because under those circumstances the Watch is not supposed to change to Cellular as it is using the iPhone for connections.
(2) I have sometimes found when I leave my house - and leave my iPhone behind - I have to wait till I get out of Wifi range of my house for the Cellular to turn on. And sometimes I also have to tap the white cellular symbol to actually get the cellular to turn on.
If you answer NO to both of the above, you can try resetting the Watch to factory settings and then re-pair it but don't set it up from a backup.