Error activating mobile data

You are tagging Vodafone UK which is a supporting network. That means there are two possible sources for the observed problem, either Vodafone got an error they have not noticed yet, -or- for some reason your watch thinks it is not compatible with Vodafone.

Check the second option first, because it is easy to check. In the Watch app on your iPhone go to My Watch, General, About and check the watch Model number. You should have either A2007 or A2008 for a European watch (if the value is a random looking string rather than Annnn just tap the entry and it will switch to the other format). If you get A1795 or A1796 it is not compatible with European networks, and should be in North America. Apple Watch - Carriers - Apple

If the watch is compatible when you check it tends to point at a configuration and provisioning problem on your account. I suggest you put the problem back to Vodafone, if necessary with a personal visit to the nearest Vodafone store where they can’t ignore you.

That is very unfortunate, because it is unlikely you will be able to return the watch to where you purchased it within Apple’s 14 day refund period. Because it is a non-stock item in Europe the Apple stores over here will be unable to exchange it for the European version.

This seems to leave you two options. It is completely optional to setup cellular service, the watch will continue to work exactly like the non cellular version when linked to your iPhone. The only function which does not work will be the standalone cellular (So remember to check and cancel the Apple Watch extra on your iPhone plan before it costs money). Otherwise, if you have a relative or friend using iPhone in the North America region (USA/Canada/Mexico) you could arrange to trade it to someone who can use the full functions.

Sorry this is not the news you hoped for 😟