Recently I swapped to Vodafone UK from EE which went through fine. I had a Vodafone physical SIM and swapped to an e-sim. This also went through fine except the Apple watch seemed to get confused. Looking on the Vodafone forum there seems to be a number of circumstances that cause the issue. Below is a screen shot of the error:
Irrespective of which circumstance you see the error code if you open the watch app go to General -> About. If you find EID is blank this should resolve the problem.
Navigate to the following page: https://www.vodafone.co.uk/help-and-information/esim
Click on esim to esim.
Log into My Vodafone
Select your number
Now Select Mobile Secondary