After Upgrading to iOS 14.2 Beta 2 and the latest WatchOS.
Blood Oxygen now shows up in the Health App on the iPhone.
The Blood Oxygen settings are available where you can turn measurements on and allow background measurements in sleep mode and theater mode.
The watch app still says "To setup Blood Oxygen, open the Apple Watch app on your iPhone"
I am not sure what else I have to turn on to get the app to work.
restarted watch after enabling blood oxygen measurements and the watch app still does not work.
background measurements seem to work because the health app on the iPhone reports multiple background readings.