I wonder whether there is a possibility to have a small indicator of the current activity in the panel (for example the icon selected). Sometimes I am not sure in which I am (I have different desktop wallpapers but these usually are hidden by the open windows).

I found the activity pager, but this is a "big thing" that uses a lot of horizontal space (and if I chose the vertical layout I cannot really see what is in there).

I would prefer to just have a small icon in the panel. Is this possible?

Yeah... I'm not sure about what you're looking for
does the widget Window List do you're looking for?
when my taskbar is rather full or the Alt-TAB doesn't do it for me
then my way of quickly "finding" what I need
is that I have a Screen Edge--bottom left--set to Desktop Grid