When I lock Windows, the connection is interrupted.

[Dingo1]

I am using FortiClient Single Sign On on our Windows devices. When I download a large file from the internet and lock the computer, the transfer is interrupted. Is there anything that can be done about this?

[Markus_M]

May depend on the FortiClient version as well. 7.4.0+ should not do that, older 7.0 should not do that either. 7.2 may do that on intention to fix a reported problem.
https://docs.fortinet.com/document/forticlient/7.2.2/windows-release-notes/22791

862021

Local account can access Internet if FSSOMA is logged in and user locks the screen.

The 7.4.0 contains

https://docs.fortinet.com/document/forticlient/7.4.0/windows-release-notes/22791

909844

Single sign-on mobility agent (SSOMA) drops user FSSO sessions earlier.

which may ease that perceived problem. I cannot say much for the FortiClient as I'm stranger to the product, but the 7.4.0 may do better for you.

Best regards,

Markus