This is something that I noticed in numerous activities. Sometimes I start a Walk activity when I'm still in-house. Obviously there's no GPS yet. Then I go outside, and the GPS eventually is connected (I know this not because the watch tells me but because I see it in the map after I save the activity). Then later I go inside a building (while the activity is still running) and then I get a notification telling me that the GPS is ready.
At the beginning I thought this is some glitch, but it's 100% reproducable.
My forerunner 965 has the latest production FW: 17.26 (and no, I won't install the beta)