What indicator do you see on the watch face when you are away from the phone? A red X top center means the cellular is not connected.
Assuming you have the LTE version (red dot on the digital crown), Check the cellular function button top left in Control Center (swipe up in watch home face), the button should appear white if the phone is in range, or green if watch cellular is connected. A dark button means cellular is switched off, tap the button to enable.