I am experiencing the same issue. I cannot even find my Pulse Ox on the list of widgets, I can see it when i edit the list. However it is showing that its available and on there, but it displays no information what so ever.
Works for me too on IOS. But it seems that historic data from the watch are not included in the app. So I only have data for today, even though the watch has data from the last week.
You know, just after reading this thread, I went to check on an Android 4.4 phone and Android 5.0 tablet, no data.
A couple hour later I noticed a new Pulse Ox spot in the My Day screen in Connect and it has started to track in both devices.
So maybe navigating to the Pulse Ox Acclimatization under Performance Stats in the Connect menu activates it? Or may have just started working on it's own.
I would also assume that setting the Pulse Ox to track all day instead of manually would be required, too, though just a guess.
