Hi Lou
If you do not see a Disconnected icon at the top of your Apple Watch face, then your watch is already connected to your iPhone. To confirm this: on your Apple Watch, swipe up on the watch face, then swipe left / right until you find the Settings Glance. This will state either Connected or Disconnected. (Swipe down again to return to the watch face).
More info here: About Bluetooth and Wi-Fi on Apple Watch - Apple Support
(Our previous discussion regarding status icons also refers: What do the top center symbols on my Watch mean?)
When you go to Settings > Bluetooth on your Apple Watch, your watch automatically starts to search for additional Bluetooth devices that you have placed into pairing mode and are trying to pair with it - for example: a Bluetooth blood pressure monitor or Bluetooth headphones.
More info: Use Bluetooth headphones with your Apple Watch - Apple Support