US Apple Watch in Canada

We are living in Canada with our amazing AT&T plan from the US that covers the US, Canada, and Mexico. I just realized that my apple watch is not connected, however. When I tried to fix that problem and re-add my AT&T cellular service to my watch, I received a notice that apple watch cannot use cellular service while roaming. If apple watch can work on a cellular provider in Canada, why won't it work with whatever plan is working on my iphone. I am paying 10 dollars a month to have my phone connect to my cellular plan, AT&T does not think this should be a problem, yet it seems there is something in the apple soft or hardware that is not allowing me to use my cellular plan. Is there a way to work around this problem?