It’s not a good implementation. I was always hoping Apple would do this but they screwed the pooch on it. Should be when Bluetooth connection is lost but like Night Spring mentioned, it’s pretty much whenever it feels like notifying you.
“Phone Buddy” is a great third party app for this same feature and is leaps and bounds ahead and better than Apple’s version. Never missed a beat for me. As soon as Bluetooth connection is lost, your Watch starts ringing and buzzing so annoyingly (in a good way) that you have no choice but to tend to it. Find My has been nothing a soggy diarrhea sandwich with iOS 15.