DJI drones have a connection fail-safe setting that allows you to configure the behavior of the drone in the event that you lose connection. The options are hover in place, return to home, and automatically land. You can change this setting manually through the user interface, or automatically through a command component in your mission plan.
It is worth noting that most other flight automation apps that use the DJI SDK upload missions to the Drone for execution, and it is possible to allow the mission to continue even in the case of signal loss in these apps. The problem is that uploaded missions must use the onboard flight controller which is very limited in terms of the available feature set for autonomous missions. Many of the features available in the Dronelink mission planner can only be achieved by using a custom flight controller that performs all the calculations on your mobile device. This means that Dronelink missions can only continue while the remote controller is connected to the drone. We are considering adding the option to upload missions to the Drone, but if we do implement this feature, enabling it will come with significant limitations in the mission planner, which will negate most of what makes Dronelink uniquely powerful.