The icon is always NA and as sson as I push on GET WEATHER in SETTINGS a message"Connection to Weather Service failed" pops up. Indeed clicking on the icon I'm linked to the internet page where the weatjer of my location is shown.
How can I set the connection to make it work properly?

Assuming you are running Nexus, I would say that you need to allow Nexus.exe to go through your firewall (in other words, your firewall is blocking it from accessing the Internet and gettting the weather information).

Try temporarily disabling the firewall and see if Nexus goes through. If it does, you know what the problem is.