Hello, thank you for reaching out. I agree, it is puzzling that the icon would appear when the phone is connected with the watch. If the icon appears on all watch faces, I recommend resetting the watch as suggested by @SamsungQue. Please let us know if this resolves the issue.
Be sure to click " ✓ Accept as Solution" when you find an answer that works for you.
Please note, notification emails are a DO NOT REPLY address, you must log-in on the community page in order to respond.