Unlocking Apple Watch with iPhone options greyed

Recently I changed phones from iPhone 12 Pro Max to an iPhone 15 Pro Max, and I had my Apple Watch paired with the old phone. When migrating data and applications to the new phone, I could not unlock the watch from the phone. I checked the options of Passcode from the Watch application and the options could not be changed (Watch > Passcode > Unlock With iPhone), all the screen was some kind of greyed and the processing icon was on the top right corner.

In the Watch, the option Settings > Passcode > Unlock With iPhone, said that I had to change that setting in the iPhone.

How can I activate the Unlock with iPhone setting, if the watch tells me that I have to do it in the iPhone, but the options in the iPhone cant be changed?