I have found something I did not know about the SET button:
When an activity is launched, you can push once on the set button and you are back to the watch face.
Another push on the SET button and you are back on activity screen you have just left !
Another push you are back on the watch face.
Now you can browse your widgets and one push on SET and you are back on the activity screen.
Another push on SET and you are back to the watchface...
Handy isn't it ?
:-)