You are not missing anything. This is expected behaviour for Android.
When a Wi-Fi policy is deployed, the configured network becomes available on the device. However, Android does not force a network switch if the device is already connected to another Wi-Fi network.
For devices enrolled with Device Admin privileges, the user must manually connect to the configured SSID once from the device. On Android 10 and later, you may also see a one-time prompt to Allow suggested Wi-Fi networks. After this initial interaction, the device can automatically connect to the configured Wi-Fi network going forward, as long as the configuration remains available on the device.
Best Regards,
Isabel Lora
Hexnode UEM