In some cases, it may be important to make connections WITHOUT VPN do not want to allow it. Some VPN Providers have this function which one calls "Kill Switch" integrated with others missing this unfortunately. To be on the safe side, however, you can manually apply these rules on Windows devices with board resources, ie the Windows Firewall. In the following I show how that works.
Thus, all data connections of the Windows device are only over existing VPN Connections led. Should the VPN Disconnect even for a short time, data will never be sent or received. In this way you can have your own identity and IP address safely protected in any case.