Same here I have recently switched to Galaxy S21 Ultra 5G. Sleep recording works but no details such as deep sleep, REM etc. My Watch is Galaxy Watch Active 2.
I did: Restart/ Reset disconnect/reconnect; same on phone
Since few days I have the same issue on my Galaxy Watch Active 2
Watch only shows hours of sleep, not loading any further details and is also not sending that sleep time to my phone, simply does not synch. It is very annoing.