Stellar activity poses one of the main obstacles for the detection and characterisation of exoplanets around cool stars, as it can induce radial velocity (RV) signals that can hide or mimic the presence of companions. Several activity indicators are routinely used to identify activity-related signals in RV measurements, but not all indicators trace exactly the same effects, nor are any of them always effective in all stars. In this work, we evaluate the performance of a set of common spectroscopic activity indicators for 98 M dwarfs observed with CARMENES. We find that different indicators behave differently depending on the mass and activity level of the target star. In addition, we also observe that stars at the low-mass end of the sample show the lowest RV scatter, which could potentially hint at different manifestations of activity compared to higher-mass stars, as well as being better candidates for planet searches. Overall, our results show that when assessing the origin of an RV signal, it is critical to take into account a large set of indicators, or at least the most effective ones considering the characteristics of the star, as failing to do so may lead to false planet claims.