Options are connect od do not connect, "Don't ask me" is not clear what it means - "Don's ask me and connect always" or "Don't ask me and do not connect ever". As noted above, once you allow device once, it is remembered and you will not be asked again.
Note, that for SD card readers if you insert different SD card it will ask again. In that case you are adding new device to the system and question is important to warn you about device which could bring virus onto your system.
This behavior is not that dissimilar from Windows.
Allow accessories to connect? IMHO, in this case the option 'Always' is 'Don't Ask Me'.
Sytem Settings.../Privacy & Security
go down to Security and 'Allow accessories to connect', then make your choice:
1. Ask Every Time -- which appears to be what is encountered at the moment
2. Ask for New Accessories -- is what is described above
3. Automatically When Unlocked
4. Always -- yep, no more dialogs ought to appear when you connect whatever...
Note option 4 in plain view!
macOS has a similar way of allowing applications to run on your Mac. But in that case 'Always' is hidden by default.