Can you explain this Wi-Fi Calling dialogue? When you try to turn on Wi-Fi Calling on iPhone (Settings->Cellular->Wi-Fi Calling->Wi-Fi Calling on This iPhone, using iOS 11.0.3) you get an interesting pop-up message:


  Enable Wi-Fi Calling?
  
  When you join a network, the country where the network connection is made may be sent to your carrier and your cellular identity may be sent to the Wi-Fi network operator. The city may be sent to the carrier for routing short code calls. This can be changed in Settings.


What does this mean? I was just going to turn it on to help make better calls in my house, though I guess people might use Wi-Fi calling to save on charges when traveling abroad. But why would the carrier and "Wi-Fi network operators" need to know each other's information? And what is this other setting they are referring to?

Finally, another question related to this same page: The second option is "Prefer Wi-Fi While Roaming." What if you want to prefer Wi-Fi even when you aren't roaming?
You ask a number of questions which I'll try to cover. Most of these questions are answered officially in Settings, Cellular, Wi-Fi Calling, About Wi-Fi Calling &amp; Privacy. Note that arrangements vary by country and carrier so you'll have to check there for the exact details (for example, some countries have emergency call location requirements). However, here's a brief summary:


Your current country is sent to the carrier. This is because some carriers do not allow out-of-country Wi-Fi calling due to regulatory reasons, and because they want to charge you roaming fees. It is also necessary in routing emergency calls.
Your cellular identity is sent to the Wi-Fi network operator. This is because some Wi-Fi network operators allow you to authenticate to hotspots via your cellular subscription (EAP-SIM is the protocol name), and will charge differently/free for Wi-Fi calls or cellular subscribers.
The "other setting" is in Settings, Privacy, Location Services, System Services, Wi-Fi Calling.
The last question about preferring Wi-Fi is carrier dependent. The carrier sets the threshold of signal where it wants to use Wi-Fi or cellular. When my carrier initially introduced the feature, it only used Wi-Fi when the cellular signal was weak, whereas another carrier had Wi-Fi calling for years set theirs to always prefer. At some point my carrier changed it so it always prefers Wi-Fi over cellular, likely as they became sure they had adequate capacity.