As they say. It depends. If you install SQL Server locally and try to connect with that setup it will fail. On the other hand, if you connect to Azure SQL Database it will work. I will explain more.
In SQL Server Configuration Manager, click on the node SQL Server Network Configuration, and on the left side, right-click Protocols for.... You should see this:

Select Properties. With a default install, you see this:


This means that SQL Server runs with a self-signed certificate. That is, it creates a certificate when it starts up, and when you connect, you get the public key of that certificate and the client API uses that for encryption. With this setup, you must use Trust Server Certificate=True, for the connection to work. There is no way there can be any automatic trust of that certificate.
Here is how it looks on one my VMs:

Here I have made the effort to install an explicit certificate. (Oops! It expires next week. Thanks for reminding me. :-)
Furthermore, on my main machine I have this is in my Trusted Certificate Store:

Because these certificates are trusted on my machine, I can connect with mandatory or strict encryption without trusting the server certificate.
What I have done, is a little bit on the non-standard side, but at least it's cheap - zero cost. (For details how I achieved this, see this article by Phillip Steifel: https://codekabinett.com/rdumps.php?Lang=2&targetDoc=create-install-ssl-tls-certificate-sql-server)
The more normal procedure, I assume, is that you buy a certificate from a trusted vendor and whose root certificate already is your Trusted Certificate store. You see two examples in the screenshot, and those are nothing I have added; those entries come with Windows. If you install a certificate from such a vendor with SQL Server, that's all you need to do. It will work out of the box on all clients. ...with one classification: The server name is part of the certificate, and the connect must be by that exact name. So if the certificate says MYSERVER, and users connect with MYSERVER.company.com or 10.10.10.10, connection with fail. (But there is a connection-string HostNameInCertificate to deal with this situation.)
And this explains why it work on Azure: You have the root certificate for Microsoft Azure in your trusted certificate store.