It's only supported on iPhone 11, 12, and 13 series.

I have iPhone 11. But anyway I figured it out. The message does not show unless you have bluetooth turned on.

I don’t think all devices support it. My iPhone XS doesn’t show the message, and under the find my toggle it says “Participating in the Find My network let’s you locate your phone even when it’s offline”, rather than when it’s off.

Head to the "Find My" section in the settings, click into "Find My iPhone", and see if "Find My network" is on or off.

If it's off, you won't get the disclaimer, because it's not active.

That setting is enabled for me on iOS 15, and yet I have no such message on the power off screen.

slide to power off, Emergency SOS, Cancel

That's it. Nothing appears after I turn it off either.

Interesting. I'm on 15.1 beta, so perhaps there's a difference. Is it possible the "Find My network" isn't supported on some phones?

Look at the text under "Slide to power off"...