What, so now displaying an error message means you're responsible for the error? See some of the other threads about why Apple might not like playing dirty to go behind T-Mobile's back--each one needs the other for its good reputation.
Alternate phrasing which betrays different expectations: "We could not connect to the iCloud Private Relay servers. This may indicate an issue with your network provider, blah blah blah."
No VPNs is mostly standard-operating-procedure in, say, China. That being said: I'd assume that feature, let alone the settings page to configure it, is hidden in versions of the software distributed in countries like that. This error message is likely for countries where the service is available; just not on your carrier.
But putting that aside and even considering their stance of submission to the CCP; they betray every spoken value their American executives verbalize. That is standard operating procedure for 2022 Apple, and most other gigacorporations. That is the lens that every statement Tim makes, every word spoken at their keynotes, needs to be viewed through; that they're willing to invest their infinite money in whatever projects they believe aligns with their values, but they're wholly unwilling to stand up for those values when those projects are battle-tested in even such an absolutely inconsequential way as this.
Of course, they can prove me wrong by standing up to T-Mobile and using them as an example. I mean my god, you couldn't ask for a better example to make, T-Mobile/Sprint is a fourth-rate bargain bin cellular carrier, we're not talking about a nation state; this is a toddler mad at his parents because they won't let him eat candy for dinner. If they can't even resolve that, what hope do any of their values have?