Since Android 8.1 (even 8.0 on Pixel phones), the OS has had a divisive prompt that warns you if you toggle mobile data on or off using the quick settings toggle. Personally, I find this useful, since I never turn data off intentionally. If I do, it's probably by mistake, so this extra step is a good way of mitigating against that risk.
Many users were less enthused (check the comments) when this prompt was introduced, as it made toggling data that little bit more difficult. If you do this often, I can see why it might be frustrating.
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