Why does Windows prompt me to grant admin permission when I am already connected as an admin?

I have a remote session going on Windows Server 2019. I am logged in as a user who is a member of the local Administrators on the server. When I try to copy a folder I get the message:

If I click Continue it goes ahead with the copy. There are other servers I work with where I don't see this behavior.

Why is Windows prompting me this way? Is there a server wide setting that controls this?

As @joeqwerty wrote, that's a function of User Account Control (UAC), which has been part of Windows increased security posture since the Windows Server 2008/Windows Vista days.

Yes, there are server-wide settings to turn off UAC, and no, you usually shouldn't do that: The system is not without faults but it protects you from a number of categories of user error and malicious software behavior. Change your habits to work within the intentions of the system instead.