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I don't know if this is a bug or a rough edge but it is certainly annoying. It shouldn't make a noise for this. It actually shows a notification for about half a second but it disappears too quickly to access the block controls.
I managed to make my Nokia 5 stop doing this by going into Settings->WiFi and then tapping on the cog icon. Under there is an option to "Switch to mobile data automatically". Switching that option on stops the connection lost tone.