This issue have been around for years.
Co-op is the only game mode I play - i've done that for many years with the same friend of mine.
We are both located in the same country with approx. 250 km between us.
For the past 2 year we both have been playing with 1000 Mbit internet, both our consoles is using wired connection, and we both have an open NAT.
Both my friend a I have exactly the same red icon for bad connection as you, but it's really not an issue - We have played many seasons i co-op, and it's not many connectivity problems we have occured.
We have had this issue for several iterations of the game.
Im not sure why the icon for bad connectivity is showing - would love to know what triggers it, what is the threshold for a bad connection between players?