Looks like the sound detection icon. When it's on the mic will pick up sounds you select and alert you when they happen. Useful if you're working with headphones.
Is that they "Hey Siri" active listening icon? I know with 2nd gen airpods and airpod pros you can just say "hey siri" without touching the airpod to activate. is it a toggle for that?
After some digging, it appears to be for Siri to announce messages once connected to a headphone, so its actually from the iphone, and then shows up on your watch.
one is from Conrol centre, and the other is in Siri settings.