I'm having a problem getting it set up. AW4. Just updated the watch to 5.1.2 and the phone is 12.1.1. I go into the Watch app then scroll down to Heart. The only things I see are high heart rate, low heart rate and notification grouping. I don't see anything about setting up the ECG app.
You have open it on the Watch first, which will then direct you to the Health app on the phone.