This is one of the things that has always bugged me about Steam. They really should make an option to keep downloads active even during gameplay.
I'm sure they have it set to turn off when a game starts for one of 2 reasons. 1 possibly being to help with online multiplayer games, so your bandwidth is dedicated to that, or 2, just to help with servers overall so that more people are not downloading at the same time.
either way, its an easy fix, for most games. Some games when you alt tab out of them, you will have to restart, putting you back to square one.
PC fancy super special numbers time: i5-3570k/HD 7870XT Tahiti LE/ ASRock Z77 Pro4/8 GB Corsair Vengeance/Win 8 64bit/Other Stuff
Sometimes you have to click "resume all" at the top of the download page to get it to resume... sometimes you have to pause it again (so it goes from suspended to paused or whatever) so you can unpause it.