Your Apple Watch without cellular relies on two things to get iMessages:
- Wi‑Fi: If the watch is on a known Wi‑Fi network, it can connect directly to Apple’s servers for iMessage, without needing your iPhone nearby.
- Bluetooth to iPhone: If your iPhone is close, the watch can piggyback on it.
Since your watch is receiving iMessages at Lidl (and also at home and work), that means the watch is successfully connecting to those Wi‑Fi networks and using iMessage directly. It does not mean your stolen iPhone is nearby.
If your iPhone were close by, you’d see other signs (like calls relayed, or Find My showing activity). But because your watch is Wi‑Fi‑enabled, it can still send/receive iMessages independently as long as it’s on a trusted Wi‑Fi network.
In short, your iPhone is not necessarily near Lidl. Your watch is simply using Lidl’s Wi‑Fi to connect to iMessage servers.