As described in thread title there is a bug. I state it is a bug, because it happened to me multiple times.
In case of some rare occasions I go and do some sports in early morning, hours before the end of my sleep time (sleep mode). Even if I am moving a lot in the kitchen and in our hall sleep mode is not automatically ended. Thus I need to manually end it.
Seemingly both Battery Saver is switched off and DND, too, there is one setting of BS which stays incorrectly in OFF status, namely phone connection.
This morning and in some other occasions I realized it, because Live Track did not start automatically. Some other time I found out that I could sync a newly created course on my Phone to my watch. Etc.
First it was a PITA to figure out what was the reason behind, now I am fully aware that it is bug.