The OVPN client has a built-in killswitch that automatically blocks your internet connection in case of leaks. If you are connected in the client and you can see a yellow light together with the text failed, that means the killswitch failed to initialize properly.
Two of the most common reasons why this may happen is if your firewall is disabled or handled by another application than your operative system.
If you want to use the killswitch in the client, please disable your third-party firewall.