To reproduce:
1. Create a cube
2. Make a prefab from it
3. Move up/down component on cube
4. Notice losing prefab connection warning

Works as designed.

Moving a component on the prefab itself will not generate a warning. Moving a component on the prefab instance will generate a warning as prefab instancing does not support recording component reorder operations (thus the prefab machinery has no way of recreating such a change automatically).