How do I get my Focus settings to sync with my iPhone and Apple Watch?

I just received an SE watch and I currently have an iPhone 13. I have a sleep schedule that I set up and before I got the watch I had “focus” set up to not disturb during sleep time. A call went through 2 am on my watch even when all the do not disturbs were set. I’m not sure if there’s a step that I missed but would love some help. Thank you.

[Re-Titled by Moderator]