Hello! Tech guy here! (Not affiliated with apple)
I completely understand what you are saying, and I am here to reassure you that the reason you see the orange dot is because that indicates that the iPhone is using your microphone, in this instance, it is using the microphone to assist you in talking on the phone. In lieu of the dots, the green dot shows up when you use your camera.
About the orange and green indicators in your iPhone status bar - Apple Support
When a green or orange dot appears, simply swipe down from the screen's top-right corner to access the Control Center. At the top, the name of the app will appear, along with whether it used your phone's camera or microphone. Also generally, it is very hard for an iPhone to record a call. There's no setting that allows it to do such a thing
By the way, congrats on the new iPhone! My clients like the SE because of the performance and ease of use! I attached an apple article below that walks you through the features the iPhone offers. If you ever have any questions, please make a post here as there are many others like myself who would be more then welcome to assist!
iPhone User Guide - Apple Support
-Panda