Hello Maliac,
Thank you for using Apple Support Communities. Based on your post, you don't have the option for Always On in your Display & Brightness Settings on your Apple Watch. We'll do our best to assist.
The Always On feature is available on Series 5 and Series 6 Apple Watch models.
With that said, this feature should be available to you there: Use the Always On feature with your Apple Watch
If it's missing, remove the Settings app from the Dock: Use the Dock on your Apple Watch
Restart both devices: How to restart your Apple Watch and Restart your iPhone
Should the issue persist, then it would be best for you to connect with Apple directly: Get Support
Wishing you well, take care.