I too did not know this, or even that there was a separate scanning setting. I'm also not sure where this message even pops up. I don't remember ever reading any time about apps being able to use Bluetooth while turned off and enabling and disabling Bluetooth did not seem to produce the message. I can't seem to find any mention of it in the Bluetooth help menu either. This is on Android 9.

I've found the scanning menu by searching for it. This is the only place that seems to mention allowing apps to scan Bluetooth while Bluetooth is off. It seems to be defaulted to disabled though.