I had the same issue so I called Apple Support today (10/12/2024) and this is what I was told. In order for the devices to sync health information, each device must first be backed up to iCloud. The devices do not sync automatically as one would expect. In order to back up your devices go to Settings, click on your account name at the very top, then scroll down to iCloud Backup and select Backup Now. Apparently, this must be done each time you wish to sync health information between devices. So the take away I have from all this is Apple apparently doesn't read its own messaging as it pertains to iCloud, "iCloud keeps your information safe, automatically backed up, and available anywhere you go."