You opened the compass app. Simple as that.
I opened the app and got the message. Then killed the app, reopened it and didn’t. Both times with a very magnetic Milanese loop. The compass tends to point north towards the top of the watch on account of the band.
The Apple Watch can’t browse the internet with your iPhone physically with you. Or the web, should you choose to be so pedantic as u/PooleyX (I can be a stickler for accuracy at times, but this one got a bit silly).