Can't change network connection priority in Windows 10

This legacy setting was superseded in Windows 10 with a new setting that is the "metric" much like in typical networking.

Go to your adapter properties, IPv4 settings, (keep current DHCP or static IP) and click on the "advanced button". There you will see the new checkbox automatic metric and the textbox to enter manually at your discretion. The lower the number the higher the priority.

To complement JCMs correct answer, you can also configure the metric by using the PowerShell cmdlet Set-NetIPInterface (source, docs):

Set-NetIPInterface -InterfaceIndex <INDEX> -InterfaceMetric 100

This cmdlet is quite usefull, because it is the only way to adjust the metric of interfaces that you don't see in the GUI, like virtual interfaces.

Keep in mind, a high priority is equivalent to a low metric value.