Note that OS X has a different default than Windows when it comes to redirecting all traffic over the VPN. The remote VPN server may or may not actually allow such traffic. Windows by default sends all traffic over VPN, but a Mac does not. (On a Mac, the Advanced button shows an option "Send all traffic over VPN connection". Windows has a simular option.)
When all traffic is sent through the VPN, then even "normal" web browsing is done through the remote VPN server. This might be useful when traveling in some countries that filter certain web sites. As the VPN connection is encrypted, using it for all traffic might also be more secure when not knowing who can listen in to the network (hotel, internet café, Starbucks WiFi, ...) that is used to connect to the internet. And it might be a bit more secure as any "hacker" (or spyware) who has gained access to the workstation will be disconnected as soon as the VPN connection is started. It depends on the security of the VPN server whether or not such unwanted traffic could be re-established through the VPN server.