Good news! I've reproduced the issue with your steps and can confirm that our experimental changes fix the issue.
Unfortunately it's probably going to be a bit yet before this lands in the stable channel, what we're doing in order to fix this is to essentially overhaul the polkit package (which is used for various policy stuff like showing the administrative prompt when doing something that requires root), and that's going to require a lot of testing on unstable before we feel comfortable releasing it to everyone.
Unfortunately I can't really give you an ETA on when this might be complete, but hopefully it's not more than a few sync cycles. I apologize that you can't change the SDDM theme for now but I'll try to ping this topic when I have a more concrete idea of when you can expect this to be fixed after updating.
