Apple Watch Series SE
Y is my watch saying that I have connect the paired iPhone to the watch to continue opening Facebook messenger???
Apple Watch SE, watchOS 8
Probably because you do. Facebook Messenger is not an Apple app. It may require a continuous connection to the paired iPhone to work.
Contact Facebook Support for help with their apps.
https://m.facebook.com/help/messenger-app?wtsid=rdr_0s0Rty3GGJqlylGhL