When switching desktop using grid, it doesn't make sense to show the on-screen display because the grid makes this clear, and so the notification just gets in the way.
What if you have like a 3x4 grid?
You can see exactly which desktop you're selecting from the grid no matter the configuration, which is why I think the OSD is unnecessary in this case.
Oh I see what you mean now, sorry.
This appears to be fixed in Plasma 6.