How can I get alert on my Apple Watch when I leave my iPhone behind?

I have a iPhone 14 Pro Max. And an Apple Watch Ultra. I want to get an alert on my watch when I leave my phone behind. Following the instructions I found online implies that there is a notification available in Find My. However, that’s not the case as that notification option is not made available; only a notification option “Notify when found”, and that option is not able to be activated. I have the latest OS on both my watch and my phone.

[Re-Titled by Moderator]

Original Title: Can