Auto-Create statistics is a well-known feature critical for the database performance. When one statistic is auto created, changing the table structure is not blocked by the presence of the statistic. An auto-created statistics is also dropped automatically when a schema change happens.
On the other hand, if the statistic is created by the user, any schema change will be blocked by the presence of the statistic.
The Auto-Drop setting on a statistic is a new SQL Server 2022 feature to change this behaviour.
Click through for a demonstration.