Thanks for your reply, jwlv. In the location you specified, the "Switch to mobile data" setting was Off. The selection was also grayed out and said "This feature is turned off because mobile data is turned off." So I went back to Mobile Data and turned it on, then back to "Switch to mobile data", which was On, and turned it off. Then the setup allowed me to proceed.
It looks as if the assumption in most instructions is that mobile data is on and the "Switch to mobile data" setting is active and can be turned off. I guess if you have unlimited mobile data in your phone plan that's OK, but if not, leaving mobile data on can result in a big surprise in your phone bill.