That does not do what you think it does: that’s the button to disconnect from currently connected devices, not to turn off radios. Similarly, the airplane mode button above it will maintain Bluetooth.
To add insult to injury, when you automate WiFi and Bluetooth to turn off when you leave your home you need to manually affirm this action via a notification every time.
Super annoying.
It's not perfect, but at least I don't have to open the settings app each time.