You're encountering a new security feature that prevents a thief from grabbing your phone while you are signed in and then changing settings before you can do anything about it.
How to turn Stolen Device Protection on or off, from About Stolen Device Protection for iPhone - Apple Support :
To turn on Stolen Device Protection, you must use two-factor authentication for your Apple ID and set up or enable the following on your iPhone: a device passcode; Face ID or Touch ID; and Significant Locations* (Location Services).
You also need to have Find My turned on, and you can't turn it off while Stolen Device Protection is enabled.
You can change Stolen Device Protection in Settings:
Go to Settings, then tap Face ID & Passcode.
Enter your device passcode.
Tap Stolen Device Protection, then turn Stolen Device Protection on or off.
If you'd like your iPhone to enforce the additional Stolen Device Protection security measures regardless of its location, choose "Always" under Require Security Delay. By default, the additional security measures are required only when your iPhone is away from familiar locations.
If you try to turn off Stolen Device Protection when you’re not in a familiar location, a security delay starts before you can turn it off. You should turn off Stolen Device Protection before you sell, give away, or trade in your iPhone.
