When setting up a new VPN in System Preferences > Network, in the Advanced page you can select a checkbox to
Send all traffic over VPN connection
It is disabled by default.
What traffic would not be sent over the VPN if it were left disabled?
When you connect to a VPN, you usually only get access to a subnet (host to network). This depends on the VPN technology and configuration used, of course, but it's one of the setups you see most often.
By enabling this checkbox, your Mac tries to route all traffic through the VPN, even traffic that would otherwise be sent to your local gateway (host to everywhere). This is useful if you want all your browsing and other network traffic to be routed through the VPN. You may want to this for example to pretend you're at a different location or because your company has a trusted internet connection and you're sitting in a suspicious internet cafe.