I am seeing the same issue with myself a several other iPhone 4 users. While we don't officially support the iPhone our CEO and a couple other 'C' level execs have them and do actively use them, as such I am required provide a certain level of support. Having said that, I can replicate this issue on mine and all three other iPhone 4 which I've come into contact with here.
If you connect the VPN and return to the home screen and allow the phone to lock or lock it manually it will only APPEAR as if you are still connected when you unlock the screen. Once you navigate to the main VPN connection screen you will see that you are in fact disconnected. If you leave it on the VPN connection screen when the screen locks, you will see the VPN disconnect no more than a second (if even that long) after unlocking the screen. In my case it is a Cisco IPSec connection with every permutation that I can think of in settings attempted to try and resolve this.
As I write this I am on the phone with a first level rep who does not understand what a VPN connection even is. So I'm reaching out to the community at large in an attempt to resolve this irritating issue not just for me but for many others. Thank you.