When device is on cellular data, even if the "Use Cellular Data" option is checked, the "Multiplayer Game" option will be turned off once the world is opened.
(See screenshots for detail)
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Thank you for your report!
We're tracking this issue under MCPE-43626 so I've requested this report be resolved and linked as a duplicate.
If you would like to add a vote and any extra information to the main ticket it would be appreciated.
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