Apparently this is a very common problem and there is nothing that you missed so don't worry on that end. However, a quick search did reveal a rather complicated solution to this problem which I will only suggest you follow if you know what you're doing
You can try this if you don't mind the network icon not showing that you're connected.
Open Registry Editor (regedit.exe).
Go to HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Class\{4D36E972-E325-11CE-BFC1-08002BE10318}.
There are subkeys numbered 0001 to 0019. Look in each subkey in descending order (start from 0019) for the one with DriverDesc value having your smartphone's RNDIS driver name (same name shown in your Network Connections view as the "Connect using" value).
Once located, in the right side, right-click an empty area and select New > DWORD (32-bit) Value.
Enter the name as *NdisDeviceType (remember to include the asterisk sign * in front).
Edit the newly created DWORD value and enter the value data as 1 (Base choice doesn't matter). Click OK.
Once done, in your Network Connections view, disable the network device, and enable it after a few seconds.
You will no longer get a prompt asking for network location whenever you connect your smartphone, but you will still get the prompt when connecting other devices.
Important Note: When you are only connected to your smartphone, your computer's network icon will continue to show that you are not connected to any network. However, the internet will still work fine.
Alternatively, you can also do this:
Open Network & Sharing Center
Change adapter settings
Right click (on your tethered "Remote NDIS based Internet Sharing Device", in my case its "LAN-Huawei-USB")
Status
Details
Copy the IPv4 Address, Subnet Mask, Default Gateway & DNS Servers (in my case it's- ipv4: 192.168.42.11, subnet: 255.255.255.0, gateway: 192.168.42.129, dns servers: 208.67.222.222 & 8.8.8.8)
again Right click (on your tethered "Remote NDIS based Internet Sharing Device", in my case its "LAN-Huawei-USB")
Properties
Highlight "Internet protocol version 4 (TCP/IPv4)
Properties
Use the following IP address:
enter what you copied earlier from STATUS here
OK
close all windows