When you initiate a connection to a VPN server, your regular internet is reconnected through the VPN tunnel. When this happens, you will be disconnected from the internet for a few seconds while the VPN connection is made. After a connection is made, your device is assigned a new IP address and you can resume your activities with this new connection. This is the core principle of a VPN.
So, if you are watching a video, playing a game, downloading a file, or any other activity that is using your internet connection, you will be interrupted when you change from your normal internet to a VPN.
Therefore, always connect to the VPN server before you launch your apps or services that use the internet. Not during.