Since the application is relatively new, it does not include advanced security feature such as multi-factor authentication. Though, I will forward a suggestion to the developers.
Besides, you should not be able to initiate a connection with the same configuration file, if there is another active connection.
In general, if someone has physical access to your device with intention to get to the data stored within, then no security measures will protect you, at most they will make the process harder.
If you are using Windows, you can add a password to access the folder as explained here.
You can also add a hidden attribute to the folder the file is contained in, to hide it from being easily detectable.
There is a possibility to restrict access to files/directories for different users or user groups, if you have admin privileges, which I suggest to look at thoroughly.
Then, certain windows editions have a BitLocker feature, which encrypts operating system drive.
Lastly, monitor RMS VPN HUB data usage to determine, whether there is an increase, or any unusual usage at an inappropriate time.
However, if you really want to protect your data, you should first limit physical access to the device.