In 19.07 the HTTPS enabling libraries were not installed by default, so you did not connect with HTTPS unless you installed the needed SSL libraries (and the required libustream wrapper). Thus you did not receive the certificate warning, although the redirection option was set as enabled.
For 21.02 the SSL + libustream libraries are installed by default so there is HTTPS capability. And if you sysupgrade with settings from 19.07, your old dormant setting from 19.07 with the "redirect to https" enabled becomes effective. And thus you get a warning.
But for a new 21.02 installation (or a sysupgrade without settings), the HTTPS redirection is set as disabled, so there is no warning (if you just connect with http).