Pushing the Off option is turning off the tracker, not turning it on. Make sure you have the activity tracker on in general. Off is not on On/Off toggle, it just turns off the tracker. You need to set a goal to turn it on. Go into the Tracker menu and select Goal> Steps and enter a steps goal and press right (or whatever goal you want, you can only have one though). The tracker will then be turned on. Then go into Heart and select On and Sleep and select On as appropriate. You need to press right through each item to save it, left will back out without saving. Pressing left from the clock screen will take you into the activity tracker graphs to see your progress and confirm it is recording.
NOTE: This doesn't apply to the first generation of Runner watches.