Users do not make a distinction between external/personal contacts and internal/company contacts. And in the apps, all personal and company contacts are found together.
Since the feature states 'Ask for a name when: Not in contact list' this setting is ambiguous for users.

I would suggest that this should be raised as a bug.
Either callers in the company directory should NOT be screened.
Or, the feature text needs to clarify that this only applies to personal contacts, and company contacts will still be screened