ODBC access across internet

I have taken over maintenance of an application that was coded to access (via ODBC) a Microsoft SQL server over the internet. There is no VPN in place now, but I will ensure one gets put in.

Since the encryption is taken care of by VPN, what should be my other concerns?

Should I be concerned about losing data packets over an unstable connection such as the internet? Are there mechanisms in the database server and odbc driver to recover from data loss and connection loss?