I want my Mac to be as secure as possible, but I don't know if the send all traffic over VPN option is safe or not. Please can someone explain if it is more secure to enable it or not.
This depends upon what threats you are trying to mitigate against. By using a VPN you are essentially changing then end point of you traffic, or where it connects to the Internet. If you are using an insecure WiFi connection this will encrypt and thus protect all of your traffic that traverses the wireless network. This is significantly more secure then passing all of your Internet traffic over and open/insecure network. However you are only moving the "on ramp" that you are using to connect to the Internet. If you are concerned with your Internet Service Provider monitoring your connections to particular networks this is also a good technique to use. Using a VPN will not however give you and end to end secure connection, so if you are using insecure protocols such as HTTP or email in plain text then you are just as insecure once that traffic reaches the public Internet. Using a layered approach including multiple layers of encryption both at the protocol level and at the network level (VPN) afford you the most security.