I had the same issue. To confirm that the problem exists you need to turn off WiFi on the watch and put the phone in flight mode. By doing this the watch will try to connect to through 4g and if it comes up with that message it means your plan isn't setup correctly and you should contact O2. My plan is with Vodafone so I can set everything myself in my Vodafone account.
I've just got my 4g watch today.. You need to add the esim to your mobile provide plan... Currently I think it's only Vodafone and EE that are able to? I've configured mine today and can leave the house etc and make calls etc with phone left inside. Think I'll disable mobile data though as it seems to drain battery very quickly.
Also I've heard there are updates available for the Bluetooth versions but not 4g... My security date is June??