There are things you can do, when that happens. At least on PC:

When somebody steals your long distance delivery, destroys the wagon or damages some of your moonshine bottles. But you have to do it quickly after the incident occured:

You can go to your task manager, open the ressource monitor find RDR2.exe and right click on it. There you should find an option called 'end process structure' or something (not english native speaker). Your game will just end. Immediately start the game again and go to your camp and start again.

On the PC, using your ressource monitor, you can also create a non-stable private solo lobby, just before you start your distant delivery (or any mission that will flag you for pvp). Again right-click on RDR2.exe but this time you use 'pause process' or something (forth option from the top), wait for 10 seconds and again right-click and 'start process'. In the top left corner of your game screen, you'll find a notification: 'Due to some networking error, you have changed session'. Weirdly enough plugging out and replugging in some USB-Gaming Headsets has the same effect, it might disable your ingame voice though.

There is another method to get into stable running, private lobbies as well (even works on consoles), for which you use the poker table ingame, but you need two players for that.