On Windows, when connecting using a WWAN/Mobile connection, it is set by default to be a metered connection, which will help your computer to save and limit the amount of data exchanged over the network. For instance, on a metered connection, Microsoft Outlook or OneDrive won't connect automatically and require an additional manual step to connect.
While this behavior may have many advantages while roaming abroad and in a region with limited or poor reception, most operators offer flat rate connection prices, 4G/5G coverage, making this feature more cumbersome than useful.
To change this behavior, you can switch off the "Metered Connection" property of your mobile connection. Search for "Mobile settings" in your start menu or navigate to "Network & internet > Mobile" and switch off Metered connection.
Note: beware that from that moment on, your computer won't have any limitation on whether an app can connect or not, including Windows Update functionality.