My watch is a 5.3.1 version. I cannot turn on the always on feature. Any ideas?

Always On is only available on the latest Watch Series 5 with watchOS 6.

Turn off watch power and turn it back on than click application you would to open. Link iPhone watch to iTunes for diagnostics check of any potential problems.

Unless OP has an Watch Series 5, it's futile.

Just to add additional support, if charla1969 has a Series 5 it would Not have watchOS 5.3.1

Yes I know. I happened to have Series 2, 4 & 5.