It wouldn't work just by turning off the VPN.
For example.
1.- Be playing an online game
2.- You want to make a purchase on an internet page while your game loads, pauses, waits or for any reason you have a moment to do it.
Here are two possibilities
1.- Activate the VPN where it may possibly ruin the game with ping or the game itself recognizes that you changed your IP and takes you out automatically.
2.- Buying without a VPN with the consequences it can bring.
3.- If you have to activate the Smart option and you are playing and by mistake or by intentional access to a bank page, this will be activated and as mentioned in point 1 you will probably be removed from the game.
There are several VPNs with that option, it is not a whim, it is simply a worthwhile option.