I have a new Watch 5 Pro LTE with a plan on AT&T. Everything seems to work fine with the exception of outgoing calls on the watch.
Looks like that maybe something that works with an attached Samsung Tablet. I'm not finding it anywhere on my phone.
I did find this on the European Samsung Community a user on AT&T having the same issue. I posted asking for an update.
Seems like an AT&T thing as the problem went away when the user switched to Verizon.
I did find that setting on my phone finally however you have to enable it on the other device as well. The option isn't on the watch.