Hello,
the Turn on the VPN "Automatically when connected to the Internet" checkbox on the Network Security tab should enable an auto-connect for all networks except the ones excluded in trusted networks. The logic behind is relatively complex as it needs to handle network instability during networks switching but if it doesn't work properly, it's definitely a bug.
Additionally, you can enable the Kill Switch checkbox. It setups the PF firewall provided by macOS to block all the traffic except the one sent to a VPN virtual interface and to a local network. It protects you if VPN connection breaks (i.e. during network switching), computer goes to sleep, etc. The firewall rules are set prior the connect to the VPN and removed when you click on the disconnect button.
Best regards,
Martin