It is a protection measure.
If the VPN connection drops, the computer defaults back to the public IP address provided by the internet service provider (ISP), Internet packets will then show your actual IP address and are no longer encrypted as the “VPN Tunnel” is no longer hiding/protecting your internet traffic, so in effect, you will be exposed and your activity can be easily tracked.
The most dangerous part? Without the proper precautions, you may not even know if or when that happened, to counteract this issue, Hotspot Shield offers the “kill switch” feature. In essence, a kill switch cuts your connection to the internet altogether when your VPN connection fails and restores it ONLY when the VPN connection is reestablished.
On the other hand, it will NOT cut the connection to the internet when you disconnect the Hotspot Shield VPN manually.