I can confirm this and it also puzzled me.
I have a 
and a 
SIM in my phone and regardless of the selected data preference and the toggle above mentioned being set to off, it stubbornly switches data on its own. It seems to do this to avoid roaming connections - which seems to be a mostly useless “feature” in the EU.
In my case I was lucky that I noticed when I did because at that point it had depleted my data on the card I did not expect to be in use, but did not cause any further fees to be billed.
My only solution to make it stop doing that is to explicitly turn off mobile data on the card I don’t wish to use. I’m also not sure yet if this is working as intended or if the toggle is actually buggy.