Once you change to an appropriate carrier and if you have a cellular watch, then you should be able to setup the cellular feature. However, since you can't find a cellular setting, I doubt that you have a cellular watch. I believe you have a GPS-only version of the watch. To see if you have a GPS+Cellular watch see the 'Set up cellular on Apple Watch' section in:
Set up cellular on Apple Watch - Apple Support
If you can't see steps 2&3, then you have a GPS-only version regardless of your carrier.
If you do have a GPS+Cellular version the see the 'Changing carriers' section in the above link.
If you have a GPS-only version, don't feel bad. A GPS-only watch can do everything a GPS+Cellular watch can as long as it is near the paired iPhone. Furthermore, you won't have to pay an additional (~$10) monthly fee to the carrier.