Unable to receive calls on Watch Ultra 2 when Phone is off

Did you add the watch to your iPhone's cellular plan? Does your service provider support the Watch?

M1 Mac mini, macOS 14.4.1;  Watch, series 7 GPS/cellular, watchOS 10.4; iPhone 12 Pro, iOS 17.4.1; TV 4th Gen, tvOS 17.4; HomePods, audioOS 17.4 and Airport Express w/ Airplay 2

Have you been able to set up cellular successfully on the Apple Watch Ultra 2?

Set up cellular on Apple Watch - Apple Support

You can check that by looking at the cellular icon in the control center: