So let's say you're surfing along, and all of a sudden, your VPN connection fails. Your phone or computer is likely to immediately try to reconnect and do so directly without going through a VPN. All of a sudden, your data is unprotected. A kill switch is a feature in your device's VPN app that detects that connection fails and immediately shuts down network access. Like with everything, it's not a 100% perfect solution, but these days, I wouldn't recommend using a VPN that doesn't offer a kill switch.