For the last few days this happens once per day. It forces me to restart because I can't connect to any website at all:

Error message: Safari Can't Connect to iCloud Private Relay.

The setting's off in Apple Settings on my MacBook Pro but I'm unable to turn it back on.

It's starting to annoy me.

@Miraz same here. I rebooted and immediately went to settings. Found it turned on and turned it off probably for good. Annoying as hell. Must be a recently introduced bug.