The firmware that Arduino.cc is selling on the modems on this device is 3 years old and this is apparently a known bug with that firmware. I'm having this exact same problem and that's what I've found from researching online. Upgrading it requires that you solder a USB cable to pads on the board and getting the FW from UBlox.
Reference for the crazy soldering you will likely have to do: Firmware upgrade for UBLOX SARA-R410M-02B on the MKR NB 1500 #2 - #11 by zbelding
I'm waiting to hear back from Arduino support about this issue... Though the fact that the thread I link here is already on their forums... I don't put too much hope in a reasonable solution that avoids USB soldering.