What have you got your Bed/Wake Time set to? If you have Pulse Ox set to During Sleep, it will only turn on between Bed/Wake Times. Unfortunately it does not activate when the watch detects you are actually asleep, only according to your defined Bed/Wake Time settings. If you often find Pulse Ox turning off before you actually wake, the only option is to postpone your Wake Time setting.
Conversely, even if you set Pulse Ox to All Day, it will take readings every 15 minutes. It only does once a minute readings when it is between Bed/Wake times. You can see this when you sleep in past your defined Wake Time (as you did in your screenshot), Pulse Ox will show a green dot every 15 minutes rather than a solid line.
