Asking Cortana to "Turn off WiFi" searches information in Bing, and does not turns off WiFi as expected.
This technique works to turn off WiFi on two others phone that I've tried.
You said that you're asking Cortana to switch off the Wi-Fi. Instead of speaking to Cortana to turn off the Wi-Fi, you try to type "Turn off Wi-Fi" to the Cortana to turn off the Wi-Fi. Check and see if it works with typing, then you try again with speaking to the Cortana.