Though you don't necessarily always need to be connected to a VPN, there are many scenarios where you definitely should be. For instance, whenever you connect to a public wifi network in a cafe, airport, hotel, park, or anywhere else in public, you should absolutely connect to a VPN to prevent anyone from snooping on your connection and potentially stealing your data. Also, if you're in a country with strict internet censorship, then it would be beneficial for you to remain connected to a VPN at all times in order to bypass any censorship efforts and access the free and open web the way it was meant to be accessed. Similarly, if you want to unblock geo-restricted content like Netflix from another country, then you will need to have your VPN connected to a server located in the country you want to access to content from.