Hi
Going to Settings > Bluetooth on your watch:
- Lists any additional devices that have paired to it (your iPhone is not supposed to be listed here);
- Tells it to search for any Bluetooth devices that have been placed into pairing mode.
For example, you may wish to pair your watch with a Bluetooth headset. This happens in addition to your watch remaining paired to your iPhone.
More information:
Use Bluetooth accessories with your Apple Watch - Apple Support
From your watch, to check the connection with the iPhone: swipe up on the watch face, then swipe left or right to the Settings Glance. If connected to your iPhone, this will state Connected and show a green phone icon. You can also tap the phone symbol there to "ping" your iPhone.
More information:
About Bluetooth and Wi-Fi on Apple Watch - Apple Support