iPhone seems to disconnect the VPN as soon as it goes into auto-lock (sleep) My iPhone seems to disconnect the VPN as soon as it goes into sleep mode. I use OpenVPN connect for iOS.
iPhone 5s and 6, iOS 8.

Is this behaviour as designed or am I missing something?
as far as i know thats a result of a design.
if i am to assume you're using wifi while connected to vpn
iphones usually puts the wifi chip on sleep while the screen is locked. to preserve battery life if the module is not being used.

that being said, it might as well be due to your vpn, I've used different types of vpn some loose connection sporadicly after a while, and some stay connected for hours (on a mac) 

try doing the same with/and/or a different vpn/leaving your screen on