It does. You can also see that the adapter is disabled (there is a stroke through the wifi icon then). It’s just the “I’ll quickly turn off wifi/bluetooth” that has gotten harder/misleading.
Like others have brought up - it isn't a security issue. Since iOS 8 MAC addresses have been randomized until the phone connects to the AP. Your real MAC is not exposed to random listening APs nearby.
It's been 3 years since your phone has been giving up its real identity while simply walking around.
There may be good reason to want your WiFi radio off (battery?), but the cited privacy issue has been solved on iOS for several years already.