There are several CIQ apps for the anchor alarm, so it depends which one you use. Typically, the simplest way to configure CIQ apps is through the Connect IQ app, but often you can change the settings after pressing the Menu button, when you are on their screen, too.
OK, I see you updated the OP with the screenshot. I do not use it, so have no personal experience with it, but I would open the Anchor widget on the watch, and long-press the Menu button, to get to the settings.
