Don't ask before terminating mobile data connection
I don't know if there's any setting for that (Samsung has certainly more than one device, and I don't know them all with all their specifics). But there are other means/approaches to this:


you might try some of the toggle switches and widgets available on Google Play
you could check for some automation tool like tasker, which have the feature of toggling mobile data. At least Tasker permits to create widgets on the homescreen bound to specific tasks, so you could create a toggle-widget yourself


Both approaches should work independent of the device you're going to use them on.