Each time I tested, my phone was awake, but still locked. I'll try unlocking, perhaps that will help.
... unlocking didn't help. Moreover, I live in a wooden building where I can see about 60 wifi signals, and not a single one of them is anyone's iPhone. Not even mine.
I think I'm experiencing the same symptom as you. It just took me an hour to understand it. The Network panel is really abstract and hard to grasp, but it seems to be buggy here too.
Basically the problem is that all the wifi "connectoids" (yes, that's a word, at least in Windows) in the macOS network panel are connecting to the same wifi network. They should be connecting to different ones. That's the whole reason for creating connectoids in the first place.
I'm still not 100% sure we aren't missing something here. I'm still researching. G'nite, mate.
Not yet sure if it is buggy or if we are just too stupid to âgraspâ it 
But I think to remember that once (years ago) I could switch my WiFi connection by switching the Location. But maybe memory is playing tricks on meâŚ
Have a good night!
Not only is the wifi connectoid being ignored, but the security setting called "Require administrator authorization to change networks" is also being ignored. I can change networks without authorizing it. Does this entitle me to one of the $100,000 bug bounties that Apple just announced?
Apparently âRequire administrator authorizationâ just means you have to be logged in with an admin account. See also here.
And indeed, when they mean âyou have to enter your password even if you are already logged in with an admin accountâ, the wording is different, see for example in the Security & Privacy settings:
âRequire an administrator passwordâ.
This does what you expect.
As far as I'm aware, the next version of macOS (Catalina) will feature an "instant hotspot" feature, possibly rendering this solution unnecessary:
In Catalina, you can ask your Mac to always connect to your iPhoneâs hotspot without prompting, if no known Wi-Fi networks are available. While this faster connection saves just a few clicks and at best thirty seconds, it removes all friction to getting your Mac online.
That's a good idea. Thanks for sharing.
For users with laptops (or Macs/modems with battery backups?) who like connectivity to stay up even while in the midst of a power outage, this could be helpful.
The problem is, doesn't your phone have to be "not in sleep mode" for this to work? Generally when I'm at home my phone is in sleep mode.
No, you can connect even when the phone is not on. At least for me, it still appears in my list of networks.
I understand, but we're is an upcoming change in the next version of macOS/iOS and it's possible that Apple has changed how iOS works in this case.