I would suspect that it is a permissions issue on your phone.
When you scan the QR code and install it on the phone - it should ask you to enable all the correct permissions.
But sometimes this does not work and you have to manually check all the permissions.
Same for the watch.
You must check that the background “cleaner” app must be set to OFF in the Optimisation section on the watch and also the other permissions needed.
Usually, if you have scanned and installed the app will do this correctly.
So the issue most likely comes from the phone.
For example, if you setup your phone using BT settings, it will not work correctly.
For correct setup you need to open the app on your phone and then scan the sync QR code which will pick up the MAC address of the watch and create a permanent connection.
Lastly, the app was developed with Android 9 and 10.
So there might be an issue with Android 11. Unfortunately I can’t test this.
I strongly advise you to use Watch Droid tethering app.
Much better.
Also remember that your watch only has 1gb or ram so you may have to kill all other running tasks and keep minimal apps installed.