I didn't noticed that before, because I only turned off group notifications, but now I tried turning all of them off including alerts and you are absolutely right! there is that annoying screen telling you to turn it on everytime.
That is not right, they should respect users choice to not get notifications, don't see a workaround right now, but you can try sending feedback to them, telling them to stop doing that, maybe they can fix it in a release. You are probably not the only one getting annoyed by that. What if you try turning them on but without sounds and to not show?
Hopefully we'll see a fix for that.