An unpatched security vulnerability affecting iOS 13.3.1 or later can lead to some Internet connections bypassing VPN encryption to expose users’ data or leak their IP addresses. The bug is due to Apple’s iOS not terminating all existing Internet connections when the user connects to a VPN and having them automatically reconnect to the destination servers after the VPN tunnel is established. Apple acknowledged the vulnerability and is looking into options on how to fully mitigate it. Until a fix is provided, Apple recommends using Always-on VPN to mitigate this problem.
Source: https://www.bleepingcomputer.com/news/security/unpatched-ios-bug-blocks-vpns-from-encrypting-all-traffic/