This is an issue with the DJI firmware and SDK. We too have experienced this and it can certainly be a bit unnerving. The app is actively managing the imaging as the aircraft flies so once a connection is lot there will no longer be any images taken. This issue tends to crop up in the presence of RF interference and can usually only be fixed by a full system power cycle when hopefully the RC and the aircraft will choose a more optimal communications channel.
The good news is that the aircraft would have just continued along the planned flight path and come back and landed on its own.