‘It appears that carriers in the U.S. and aboard aren’t happy with iCloud Private Relay. The setting, released with iOS 15, likely interferes with surveillance of customers. A report from 9To5Mac says that T-Mobile has begun blocking the feature.
The change does not appear to be network-wide just yet, but rather it appears T-Mobile is in the process of rolling it out. This means that some users might still be able to use iCloud Private Relay when connected to their cellular network – at least for now.…’
— via The Mac Observer
If this matters to you T-Mobile customers out there from a privacy point of view, consider writing to customer assistance telling them you will switch to another carrier. Of course, there’s no telling when and if the other carriers will implement a similar practice.