How to activate find my devices on Apple Watch

I'm not sure what options you mean you don't have.

The following works for me:

1. Open the Find Devices app on your Apple Watch.
2. Tap the device you want to set up a notification for.
3. Below Notifications, tap Notify When Left Behind, then turn on Notify When Left Behind.

I found this at

Find misplaced devices with Apple Watch - Apple Support

On the watch push in the crown button and scroll to "Find Devices."

On the iPhone Watch app, My Watch>Find My>Allow Notifications