Document Content Type Template in Modern Document Library

I have had a call with a support engineer from Microsoft and have the solution for this issue.

The way it works now is as designed. A lot of the options for site customizations are default not available in Connected Modern Team Sites/Office 365 Groups sites. The setting in the SharePoint admin center do not affect the Office 365 Groups Sites. Only the site collection that are shown in the list in the SharePoint admin center. To be able to use specific settings in the Office 365 Groups Sites, for example changing the advanced settings of custom content types, you have to connect to the site collection and turn the feature using PowerShell.

You can read here how to do that: https://support.office.com/en-us/article/Turn-scripting-capabilities-on-or-off-1f2c515f-5d7e-448a-9fd7-835da935584f?ui=en-US&rs=en-US&ad=US