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Thats valid question and as the guys said, its all about split tunnel. So, to put it in layman's terms, it works like this:

FULL TUNNEL - works in a way where say users connect via remote access VPN, their Internet traffic will go through the firewall as well. Now, while this does protect the user, most companies prefer not to do this, as it puts more load on the firewall and they dont wish to need to put more resources to make sure Internet browsing from user side is in check with what company's policy

SPLIT TUNNEL - works in a way where users connect to access ONLY corporate resources and their Internet traffic goes via their own ISP home provider (always preferred method, regardless what vendor you use)

Now, as @_Val_ and @PhoneBoy mentioned, settings you need are below, I pointed them out and IF they are unchecked, it means it would be split tunnel.

 If you select what I pasted, then it will do split tunnel and you wont have any issues. Let us know if you need more clarification.

Good reference article:

https://nordlayer.com/features/vpn-split-tunneling/

Cheers,

Andy