Can you explain this Wi-Fi Calling dialogue?
You ask a number of questions which I'll try to cover. Most of these questions are answered officially in Settings, Cellular, Wi-Fi Calling, About Wi-Fi Calling &amp; Privacy. Note that arrangements vary by country and carrier so you'll have to check there for the exact details (for example, some countries have emergency call location requirements). However, here's a brief summary:


Your current country is sent to the carrier. This is because some carriers do not allow out-of-country Wi-Fi calling due to regulatory reasons, and because they want to charge you roaming fees. It is also necessary in routing emergency calls.
Your cellular identity is sent to the Wi-Fi network operator. This is because some Wi-Fi network operators allow you to authenticate to hotspots via your cellular subscription (EAP-SIM is the protocol name), and will charge differently/free for Wi-Fi calls or cellular subscribers.
The "other setting" is in Settings, Privacy, Location Services, System Services, Wi-Fi Calling.
The last question about preferring Wi-Fi is carrier dependent. The carrier sets the threshold of signal where it wants to use Wi-Fi or cellular. When my carrier initially introduced the feature, it only used Wi-Fi when the cellular signal was weak, whereas another carrier had Wi-Fi calling for years set theirs to always prefer. At some point my carrier changed it so it always prefers Wi-Fi over cellular, likely as they became sure they had adequate capacity.