It is possible to save points during an activity and return to them later
Depends on the watch you own, but generally if you have a watch with navigation features then, yes, it is possible. On my watch, I can save a position after long-pressing the GPS button. You may want to check the manual for your model, if it is not the same case for you. On the other hand, if your watch does not have maps, then the navigation will only point you to the direction of the saved point. Using a reverse navigation of the current path, may be another solution to get to that point.