The current mechanic (FW 4.2.x) is as following:
If Matter & WiFi are both enabled, the Smart Lock evaluates while it boots if it can connect via Thread. If the Thread connection is not available within 60s it uses WiFi.
Once every 24h it checks if Thread is now available and switches to Thread.
If it is on Thread and Thread becomes unavailable it does not automatically switch back to WiFi.
You can force to always connect via WiFi by turning off Remote Access via Thread.
You can force to always connect via Thread by turning off WiFi.
You can disable any attempts to connect to Nuki servers by turning off WiFi and Remote Access via Thread.