I want to add my data to Health app from my Apple Watch sport.
Change the settings related to health data of this device in the app Apple Watch
but I can't find where I have to setup them.
The health data is automatically added by the watch. If you can see heart rate data, this means your Apple Watch is sending data to the Health app properly.
The message on the screenshot you posted is a bit misleading. In this answer you'll learn how to verify that the heart rate data is being transmitted correctly and how to shut off heart rate data collection.
Open the Health app on the iPhone. Select the Health Data tab. Navigate to Vitals > Heart Rate:
If you see data, that means your watch is properly sending data to the Health app. You can make this visible on the initial screen for the Health app by toggling the Show on Dashboard switch.
You can turn off Apple Watch health data collection. Open the Apple Watch app for iPhone. Select the My Watch tab. Navigate to Privacy > Motion & Fitness. There, you can turn off Heart Rate or Fitness Tracking: