TL/DR: Ensure the killswitch is enabled where available.
This will ensure that your privacy and security is always protected and will prevent re-connection if you timeout.
Sometimes when downloading, your connection will timeout (such as your ISP's connection drops temporarily, you're assigned a new IP address, there's an issue with your ISP's upstream provider, etc). When this happens, sometimes a device will reconnect and expose your IP as the VPN has not reactivated before the connection is made.
This is why we feature an option called a Killswitch. If your connection timeouts, the kill switch will prevent your connection from automatically reconnecting without the protection of the PIA VPN service.
By enabling the Killswitch, you can ensure that your security and privacy are maintained when downloading. To enable the Killswitch option, choose 'Advanced' and enable the 'VPN Kill Switch' option as illustrated.