I suggest stop your efforts on the heart monitoring for a few minutes.
Get the watch fully working with your iPhone, test functions like Maps to see it has a good GPS fix (can sometimes take tens of minutes for a proper fix after first power up and setup). Look at Find My on your iPhone and make sure the Apple Watch has appeared correctly. Check your iPhone and Apple Watch are both configured to the same regional settings.
Then when you know it is all working, check these functions are available at your location
watchOS - Feature Availability - Apple
and go back to the heart functions to try the setup again. There is a bit of extra setup, details in
Take an ECG with the ECG app on Apple Watch - Apple Support
Heart health notifications on your Apple Watch - Apple Support