Insecure connection and stored passwords disappear

I'm not aware of a jailbreak that forces only a VPN and the core OS has no provision to only route traffic through a VPN.

The OS needs to contact an insecure network and send traffic in order to establish a VPN connection. For the time the device is connected to the network and not having built a secure tunnel - you are vulnerable to network sniffing. Even once you have a VPN - the traffic can still be sniffed and recorded for later analysis, but the encryption/obfuscation makes it harder to tell what data is being transmitted and to what servers you are communicating since all traffic goes to the VPN server.

In short, you need to be vigilant to ensure the VPN reconnects. If you make sure that your iOS device does not auto-join these untrusted WiFi hotspots, you will have to manually re-join if it drops so that you can manually fire up the VPN again and the device will not inadvertently re-join and put your traffic and data at risk.

EDIT 2 Sorry, misread the question.

Your System Preference pane is probably locked. The screenshot you posted is from the "Advanced" section.

Go back to basic network preferences, and look at the bottom left corner of the window. There should be a lock saying "Click the lock to make changes". Click the lock and enter an administrator username and password.

Go back to the "Advanced" settings and the controls will no longer be locked.

EDIT 2: Un-check "remember networks this computer has joined" to prevent your Mac from remembering the networks.

In Network preferences, remove the network whose password you want to enter each time.

In Keychain Access, search for the name of the network whose password you want your Mac to "forget". Then right click on it and click the item that says Delete "item name" where item name is the name of the password item.

EDIT 1

If you want to prevent panes from locking, go to "Security and Privacy" preferences, unlock the pane (this one will always be locked) and click "Advanced..." in the bottom right. Un-tick "Require and administrator password to access system-wide preferences".