When my 245 alerts me whenever I leave a heart rate zone when exercising it stops recording heart rate for a while as is shown in the graph below.
Is this some kind of bug or maybe a limitation from the device?

manually select to connect via ANT+ if that's somehow possible.
Go to the settings on your FR 245. There is a section for sensors. In that you should see your paired sensor(s).
At least…
Personally I think it is a bug. Are you using the 245 with an external HR sensor strap or just the watch with the built in HR measurement via light?
I had the same short stops in recording, when using…
Personally I think it is a bug. Are you using the 245 with an external HR sensor strap or just the watch with the built in HR measurement via light?
I had the same short stops in recording, when using a Bluetooth based external HR strap. It was clearly connected with the notifications every kilometer - after that, for some seconds the HR was not recorded.
For me it worked out, when I tried the HRM Dual from Garmin, which connects via ANT+ No connection loss and stops in recording since then.
manually select to connect via ANT+ if that's somehow possible.
Go to the settings on your FR 245. There is a section for sensors. In that you should see your paired sensor(s).
At least for my HRM Dual I can see and change the type of connection here - ANT+ or BTLE.
Good luck, hope it helps.