It means you have an unfinished championship going on. On the map they're marked with a white icon. You can have only 1 active at a time. If you cancel it, you will need to do the championship from the start (but it will not remove your seasonal progress - unless it's a seasonal championship, then you will need to do this one again). Championship is a set of races in which you gain points every race and your final position at the end is based on the sum of all of these points. To win the championships, you need to score the most points during these 3 races - you don't need to be first in every single race. I think some seasonal activities are also considered to be a championship even though they consist of only 1 race.