I have this same issue, selecting 'when last connected to this Mac' does NOT work and I am frankly SO sick and tired of Apple deciding what is 'convenient' for me and NOT leaving room for my preference to override that I am, after switching to Mac three years ago, I am SO ready to sell each and every Apple device I own and go back to when I and I ALONE had control over my computer, my phone, my car stereo, my music library, my headphones. This is the single BIGGEST achille's heel of the entire Apple ecosystem - the arrogant, presumptuousness to leave me out of the decisions as to how and when I can use the devices I own..ESPECIALLY given the premium you pay for them. After purging my iPhone of my ENTIRE Apple Music library because Apple didn't have the sense, or regard, to put into place an option to NOT have it automatically start playing from my library EVERY time the phone connects to the car...every time I START the car, every time I END a phone call, every time I take off my Airpods...to the point of absurdity. It's been a problem for YEARS and they've done NOTHING, just as they will, I have NO doubt, do NOTHING to fix THIS ridiculous failure.
I've had enough - I simply didn't have these kinds of ridiculous issues when I used a PC and an Android phone and I will be more than happy to go back to life without them.