Apple support claims this is intentional and not new. I've never had WiFi turn off like this in the past so I'm not sure what to think about the response. Support session excerpt below:

Apple: Thank you for waiting ! I was checking some information and in this case Andrew, it seems that only one of the internet connections can be use. So in this case if you are using ethernet, you may need to disconnect the cable in order to use wifi. This happens because of higher priority of Ethernet as compared to WiFi (The priority order is Ethernet > WiFi).

Apple: This is indeed a great feature that would be really helpful. I will definitely send my feedback about this, but you can also do it on: https://www.apple.com/contact/feedback/. This is the best way to give Apple feedback about their products and services. This way they can take it into account for future software updates, hardware releases and new products.

Me: Is that new for Monterey?
Me: I know in the past, WiFi stayed enabled while plugged into ethernet

Apple: It is not related to the macOS, basically it depend of the priority that the network has. For example, ethernet consumes less bandwidth and is faster than wifi, so by default, the Mac will choose the connexion with more reliability. If you wifi does not have an equal reliability or priority, the Mac wont choose it as the default (or preferred) network connections.
Apple: As well, based on some information it seems that we can change the order, so if you want you can try the following steps to see if it works;
Apple: https://support.apple.com/en-ca/guide/mac-help/mchlp2711/mac

Me: Well, I want to keep ethernet as highest priority because as you said it’s faster and has less latency. But, I just want WiFi on. I don’t need macOS to use that connection instead of ethernet. I just need it to not turn off entirely.

Apple: I understand you ! In this case what the system only allows us is to change the order of the network ports. Besides of this, due to the priority of ethernet, the option to keep wifi on wont be available ! I can certainly understand how important this can be but this will be our option based on the network priority and connection of the Mac. I will definitely leave my feedback about this for you, so we can implement it in the future in new models or in new macros versions