I don't have one, but with the
M2P, since it autonomously flies uploaded missions rather than using "virtual stick" commands from the app, there should also be an "AIRCRAFT" setting for "Exit Waypoint Mission on Signal Loss: Off/On." If this is Off, the mission will continue; and if it's On, the drone will quit the mission and execute the option that you have set for "Signal Lost Behavior."
This isn't an option for the newer drones that use the DJI Fly app and virtual stick commands. Those drones aren't aware of any mission, so they do whatever has been set for "Signal Lost Behavior," i.e. the same behavior as if you were flying manually from DJI Fly.
On edit: I believe this is a fairly recent option in Litchi, but I don't know the timeline. Originally, the drone always continued the mission, but since that is illegal in most places, Litchi added this option.