[Monitoring] deprecation dialog link doesn't enter setup mode

[LeeDr]

Kibana version: 7.11.0

Elasticsearch version: 7.11.0

Server OS version: Ubuntu 16

Browser version: Chrome

Browser OS version: Windows 10

Original install method (e.g. download page, yum, from source, etc.): default tar.gz

Describe the bug: If you have multiple clusters with self monitoring, when you first go to Monitoring page you get the deprecation dialog. It has a link to Enter setup mode. But clicking it doesn't appear to do anything. I think it actually does switch the local cluster into setup mode, but doesn't navigate to that local cluster so the user doesn't see anything changed.

Related to: #72020
and also: #54354

Steps to reproduce:

1. My configuration happens to be set up for cross cluster replication and search, but I think any Kibana instance showing multiple clusters would work
2. Go to Stack Monitor page (you have a list of 2 or more clusters showing)
3. Click on the Enter setup mode link in the deprecation dialog.
4. Once you've clicked that link, I don't know where the state is stored to clear so I can see the dialog again?

Expected behavior: Either clicking the Enter setup mode link you also navigate into the local cluster, or the dialog should only appear when you are looking at that local cluster?

Screenshots (if relevant):

Errors in browser console (if relevant):

Provide logs and/or server output (if relevant):

Any additional context: I think this is pretty minor and doesn't require any fix for 7.11.0

[elasticmachine]

Pinging @elastic/stack-monitoring (Team:Monitoring)