You disable the VPN, they show “unprotected”, come on, I’m not really unprotected, why such a dramatic word, I just disabled the thing a little, I’m “disconnected” but it doesn’t mean I’m actually unprotected, the same way it doesn’t mean I’m actually protected if I’m using a VPN.
If you’re using a VPN to protect the destination of your traffic from the prying eyes of your ISP or the state, then the VPN would absolutely be protecting it, and therefore when disconnected you are by definition unprotected.