Fenix 7x Wrist HR stays on when connecting to a external HR.

It is normal if you have Garmin Pay. The oHR is part of the security that the device hasn’t been removed from your wrist. You can override that with a power profile though. 

Got it. But if I leave it on, it is still getting the HR data from my external monitor and not my wrist, correct?

Yes

If it loses connection to the strap it uses the data from the optical and you have to manually download external HR at the end. 

Using jacket mode forces the watch to download HR data if any part was missing. At least this has been my experience with the F7 and HRM Pro.

You would only get that to happen if you changed the default setting for WHR in Jacket mode. Otherwise, with the default of WHR off you won't get anything from the WHR thus no ability to fill in missing data.