You can only be sure about your online privacy 24/7 when the VPN is properly configured. Otherwise, there is no guarantee your IP-address is actually hidden: at some point, advertisers may get access to your browsing data, or you are repeatedly denied to access a location-specific website despite connecting via the VPN. Both situations are true signs of the security breach associated with a VPN leak.
How VPN gaps arise
The first significant trigger of security leaks is a web browser, or, to be more precise, Web Real Time Communication protocol (WebRTC) built in such popular browsers as Chrome, Opera, Mozilla Firefox. The protocol ensures end-to-end communication performed via browser clients placed in different networks in the form of file sharing, voice and video calls etc. Unfortunately, WebRTC technology is prone to hacking even when the VPN is on.