Every Runner starts with one shield against the Hunters. The first catch takes it and makes you immune for a few minutes; the second puts you out. Shields only last the first few zones. Keep yours until they run out and you go invisible for a few minutes. Missing a zone always puts you out, shield or not.
Closing the app doesn't take you out of the room - open it again and you're straight back. Leave Lobby takes you out of the room.
Reading this screen tells nobody where you are. Opening the map pings your location - which is also the only way to capture the zone you are on.