What happened to the icon for Find My iPhone on my Apple Watch?

Use Control Center on Apple Watch describes how to access the Control Center which will allow you to locate the "icon for Find My iPhone."

Open or close Control Center

• Open Control Center: Press the side button once.
• Close Control Center: With Control Center open, turn your wrist away from you or press the side button again.

Press the side button

• Press to show or hide Control Center.
• Press and hold to use Emergency SOS.
• Double-click to use Apple Pay.
• Press and hold to turn your watch on or off. 

If you have Apple Watch Ultra or later, you can customize the Action button to access your favorite features quickly.