Does Apple Watch SE 2 record REM sleep data?

After setting up my SE 2 and iPhone to record my sleep data, I get an "interesting" set of results. For five days, it's been telling me how many hours I'm supposedly awake, and the rest is all CORE sleep. No REM, no DEEP sleep. At all.

I've awakened occasionally in the morning in the midst of a vivid dream and yet, the tracking has said no REM sleep. I thought REM sleep is when you dream?

So - does this model watch not record REM sleep? If it does, how could I have set it up wrong?

TIA!

[Re-Titled by Moderator]