First you have to pay for LTE service for you watch for full functionallity. By default, your LTE enabled watch will try to use Bluetooth to connect to the paired iPhone. Next up is Wi-Fi access, first the same Wi-Fi as your iPhone and then just any Wi-Fi that has internet access. Finally your watch will switch to LTE and power up the modem and you should get the Green dots on the Explorer watch face. This order is used to conserve the watch's battery.
You can also test LTE by disabling Bluetooth on your iPhone, disabling Wi-Fi on your watch and making sure that you have LTE data enabled. Use the Settings app on your iPhone to disable Bluetooth. Use the watch's Control Center (swipe up from the watch face) to disable Wi-Fi using the Wi-Fi Toggle. The LTE Toggle should be white (meaning it is in standby), if not Tap the button and "enable" LTE data.
Dave