That can happen if either
1) session hangs
2) session takes too long to do something, and PWX thinks it has died, so it closes the connection.
For PWX CDC sources, the most common causes of those are
1) session has a UOW that won't fit in DTM buffer blocks, so PC hangs because it can't free any more blocks for use. Current PC will print out a message when this happens.
2) PC session connects to PWX, but then does a lot of other things before asking PWX for data (things like building cache)