How to have the 4G connection always on?

I'm not sure if I understand you correctly. You should just be able to disable Wifi on the phone completely and it should keep the connection over the mobile network (4G) if there is a signal.

I want to use the Wifi because it is sometimes faster (poor indoor coverage etc.). Yet, I don't see a point in disabling the 4G just because there is Wifi. For example, Android typically does not disable cellular data when it is connected to Wifi (at least not in recent versions).

There can also be differences in service sets, for instance, the other network could allow me to access certain services, like backup over WLAN at home. Also, the WLAN or PS-data might not support IPv6 (I have IPv6 in some WLANs and always in PS-data).

Managing such things by hand is frustrating when all I need to do is to disable this dis-functionality. (maybe add some iproute rules & tables as well).

What is the advantage of keeping cellular internet running? if the default route changes for your service then it still has to reconnect. And btw. that is clearly not a bug, its a feature request. I can tell for sure that until Android 6, cellular internet is turned off when wifi goes on and it provides a working internet access. Simply because it doesn't make sense to keep it running (see above)

the default route changes for your service then it still has to reconnect

Ever heard of multiple routing tables? Example using rule based routing:
echo '200 wifi' >> /etc/iproute2/rt_tables; echo '201 gprs' >> /etc/iproute2/rt_tables

ip rule add from <wifi_iface_addr> table wifi

ip rule add to <wifi_iface_addr> table wifi

ip rule add from <gprs_iface_addr> table gprs

ip rule add to <gprs_iface_addr> table gprs

Both tables need to have default routes and associated devices as well.

Also, reconnecting to 4G takes ages. Reconnecting also happens on the worst moment when I'm walking to a bus stop and need to check schedules etc.