It is possible for some background services to send information across that initial, unsecured connection before the VPN loads. To be fair, the risk is relatively minor for most usage profiles. If you're establishing a connection automatically to your corporate server, you will definitely want to check with your IT team about how they want you to set things up.
VPNs also cloak your computer's actual IP address, hiding it behind the IP address of the VPN server you're connected to. IP addresses are distributed based on location, so you can estimate someone's location simply by looking at their IP address. And while IP addresses may change, it's possible to track someone across the internet by watching where the same IP address appears. Using a VPN makes it harder for advertisers (or spies, or hackers) to track you online.
When a VPN connection drops, you might just lose your connection. But because the internet is very good at routing around failures, what is more likely to happen is your computer will reconnect to the internet application, simply bypassing the VPN service. That means that -- on failure -- your local IP address may "leak out" and be logged by the internet application, and your data may be open to local Wi-Fi hackers at your hotel or wherever you're doing your computing.
ExpressVPN is incredibly fast and super secure, and it can unblock just about any site or service on the internet - including Netflix, Hulu, BBC, and more - with impressive streaming capabilities. It offers servers in over 90 countries, and the 24/7 live chat support is one of the friendliest and most professional. ExpressVPN gives a strong fight to NordVPN, while other VPNs lag behind.
Think about it this way: If your car pulls out of your driveway, someone can follow you and see where you are going, how long you are at your destination, and when you are coming back. They might even be able to peek inside your car and learn more about you. With a VPN service, you are essentially driving into a closed parking garage, switching to a different car, and driving out, so that no one who was originally following you knows where you went.