Hi.
I think I may have figured it out.
First, yes - all of my Health and related accounts are properly configured. I also searched the status icons link you shared prior to posting. Interestingly enough, this status icon is not covered on that page.
Since then, I believe I may have solved the riddle. I believe the red asterisk Notification icon is associated with Focus. I have a shortcut configured that when I’m using the Camera app, all notifications are silence. In that scenario, I see a red asterisk icon letting me know that Focis setting is activated. I’m not quite sure why I would have seen this icon after a workout in Firness+ on AppleTV, but at least I know where one might see the red asterisk icon. ;)
Hope this helps. And if possible, it may prove beneficial for others to add this icon, and associated copy, on the status icon link you shared.
Cheers,
Tarpua