OK, here's the deal: I got in touch with an Apple engineer, and was told that "with bluetooth pairing, this is an expected behavior since Mac to iPhone is not yet supported with both devices."
The iPhone and Mac are in fact talking over BT, despite not being paired, but it's at a low level. Apps like AirDrop use WiFi for the file transfers. (I suspect that the BT chatter has to do with security, which would explain why it's invisible to the user.)
There is outdated Apple guidance floating about that instructs you to pair the devices, but it only applies to Big Sur and earlier, and in many cases this is not made clear. Any instructions to "pair" an iPhone to a Mac via BT do not apply if your OS is Mojave or later. BT may need to be on for some applications, but pairing is not implemented. (I don't know what to make of the "yet" in his statement.)
The current way to set up an iPhone hotspot: Use an iPhone or iPad to connect your Mac to the internet - Apple Support