A kill switch can help prevent your privacy from being breached when your encrypted VPN connection stops working. This is why your VPN needs it.
The basic idea of a virtual private network (VPN) service is that your connection is more private. Using a secure encrypted VPN connection, your online actions are not able to be monitored by other web traffic.
However, there are occasions where you may not have the protection of a VPN. Rather than the encrypted tunnel to a different server, you may suddenly find yourself directly accessing the internet without the VPN.
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Source: AppleInsider News