Why does iPhone 4 lose its VPN connection on sleep or screen lock?
I don't know if it will really help you, but the only way I see to walk-around this problem is to set the System Preferences "Auto Lock" to "Never". This will keep you connection alive.
I would do this before every remote work session. Then, reset it to 1 minutes, you're done with it.
It's most likely a battery-saving option. If only it would do that with Wi-Fi connections.... :( Being connected to a wireless signal besides 2G data eats the battery like mad.