Apple first added the "Do Not Track" option to Safari in iOS 7, which sent a request to site owners and advertisers to not track your browsing activity. By tracking your activity, those third-parties could tailor content to you that you're more likely to interact with. While the feature was always opt-in, it's no longer a feature at all in iOS 12.2 on your iPhone.

Release notes for Safari 12.1, the app version that is included in iOS 12.2, clearly state that "Do Not Track" has been removed from Safari's settings. The reasoning is because the standard is expired, therefore serves no purpose but to allow third-parties to fingerprint your device and use information.

Removed support for the expired Do Not Track standard to prevent potential use as a fingerprinting variable.

Do Not Track's usefulness entirely depended on the third-parties that it was sending the signal to since it was not a mandatory request. Web apps, advertising networks, analytics companies, plug-in providers, and other parties hiding on the web could easily ignore the signal sent by Safari to not track your browsing activity, and it was easy for them since there was no universally-agreed upon DNT standard. Google, Facebook, and Twitter have all been known to ignore DNT requests.

Since the Do Not Track request header has been largely ignored by most websites, and because of its seldom deployment, the World Wide Web Consortium, the main international standards for the web, withdrew further consideration for the standardization of the tracking-protection expression in January 2019.

The Safari settings in iOS 12.1.3 (left) vs. iOS 12.2 (right).

While it's sad to see this feature go, it was never really more than the equivalent to a "Protected by ADT" sign on the lawn of your house. Yes, robbers and trespassers would see, but if there's something they really want in your home, they're going to try and get it. The only difference is, acquiring your browsing activity is not illegal.

Plus, Apple had already implemented "Intelligent Tracking Prevention" in iOS 11 and higher, which put restrictions on how third-parties can use first-party cookies, effectively limiting the use of cross-site scripting when browsing the web. Safari 12.1's release notes also mention a few more Safari-related updates, which improves the overall performances of Intelligent Tracking Prevention.