Weird WiFi indication

Nope, just means the wifi radio is on. If it's actively using wifi instead of the connection to your phone, you'll see the wifi symbol in the upper left corner and the name of the network across the top of the screen.

~Lyssa

Do you mean the wifi symbol was a dark blue background with the white "waves"? If so, that's normal and just indicates the wifi radio is on.

Or do you mean you saw the wifi symbol in the upper-left corner, rather than your iPhone?

~Lyssa

Use Control Center on your Apple Watch - Apple Support

It looked like the one in the graphic in the upper right corner here? That's normal and means wifi is on.

~Lyssa