As mk313 said, this never existed and it’s a shame. Would be great to be able to locate your devices from the watch, the one device that never gets separated from your person when out and about.
For this functionality, I use an app called Device Locator which has an Apple Watch app. Would still prefer the native Find My app. Boggles my mind that the watch doesn’t have a feature that notifies you when Bluetooth connection is broken from the phone either.
However, if you’re talking about the feature that dings the phone when connected to Bluetooth, that can be found in the Watch Control Center