hi
segments have been part of the Workout app for quite a while. so not new.
in your workout app, when you chose your activity type and measurement goal, there is a way to set Preferences and you can set the segment there to notify you of a segment being reached.
however, i gave up on them entirely, as i never figured out how to really use them in my workouts.
as you see in your screen shot, Segment 1 is 5.58 km with a total time of 47.32 minutes. its a weird length/tiime.
i think you can also see on the map representation of your workout where that segment is from start to finish.