Using continuations for web programming does not necessarily mean state is lost when the server is restarted.
Most of the continuation based web servers I know about still store 'application state' in the database. State related to application logic, GUI, etc is often what is stored in the continuation.
If the language or implementation supports serializable continuations then the continuation itself can be stored in the database too so nothing is lost on reboot. This is what I do in a Scheme based system for example.
The main win is being able to code the application in an procedural manner without having to break up the logic into HTTP request/response. Whether this is a win or not depends on how experienced you are doing web apps the traditional way I guess.
If you want to know details on the implementation of a continuation based web server a couple of helpful links might be:
http://www.double.co.nz/scheme/modal-web-server.html
http://www.double.co.nz/scheme/partial-continuations/partial-continuations.html
Both present basic implementation ideas in Scheme.
Chris.