Every time, yes. I think that's what's most infuriating about it. If it only crashed to desktop, it wouldn't be so frustrating. Back when I had blackscreens, the whole system would crash though, and I was forced to manually restart the PC in order to use it again. Monitor would lose signal while GPU fans would ramp up to full every single time. This also happened when I tried using testing softwares such as Heaven Benchmark and Furmark.
For a whole year, I tried everything you can find on the internet about this issue. It's hard for me to think of something that I haven't tried to fix it. I have:
Installed more than 10 different drivers, all while using DDU
Tried different settings in Radeon Settings (specially regarding GPU Scaling)
Tried different power settings in Windows
Tried different settings in both Radeon Settings, MSI Afterburner and other tweaking softwares, regarding power limit, clocks and fan curves
Bought a new 600W PSU
Checked my PC fans to see if it was being cooled properly
Checked my PC parts for loose connections
Tried using my GPU in different motherboard slots
Tried a different monitor
Tried different HDMI and DVI HDMI cables
Nothing worked, until I replaced the thermal paste. You can see in the pictures above how cheap the thermal paste applied by MSI looked. That's why the issue had grown more frequent with time. As time passed the thermal was just drying out to the point where the GPU couldn't handle high temperatures anymore (= gaming).
This issue, across different cards and brands, is tied to lack of power/high temperatures, I believe. The monitor loses signal because it's not receiving signal from the card anymore (duh :P), and the card stops sending signal to the monitor because it stops being powered by the PSU (or, at least, the power is cut just enough so the card can fully ramp up it's fans to decrease temperature). Now, the reason why the PSU stops powering the card is where the culprit hunt starts. I've seen it all. It might be because the PSU itself can't handle it anymore because it's low quality or it's short on wattage, or because the card is being restricted from receiving all the power it needs on Windows power settings or on GPU power settings. It might be because the driver is not handling it properly. It might be because there are loose connections on the monitor, GPU cables or PC parts. It might be because the GPU is reaching temperatures high enough for it to shut itself down as a failsafe measure, so it stops receiving power from the PSU to cease the temperature increase.
In my case, it was the last one. From the start, I thought it wasn't, because I hadn't seen my card reach insane temperatures, but as soon as I changed the thermal paste, the issue was gone for good. I'd suggest checking every solution as I listed, and if none have worked and you aren't aiming for a refund, buy a thermal paste, open your card and replace the thermal paste. As you have a MSI Gaming card, just like I do, it should look like this.