I'm on the fence about that
.
The purist in me doesn't like using continue, or even break. Or even early returns (i.e. returns from the middle of a function). They're all like gotos - they break up your logic, sometimes making it harder to understand whatever algorithm you're implementing. I think some of that comes from when I coded a lot in "old style" C++ where smart pointers and RAII were not used, so you needed to ensure you always freed any resources you allocated. Jumping out of a loop at random points (or jumping out of a function from random points) often leads to resource leaks, since cleanup code is skipped.
It's not an issue with C# or modern C++ (with smart pointers and proper use of RAII). It *could* be an issue with SCI, since there is no garbage collection and no scoped variables. However, SCI doesn't follow the allocate-dosomething-free pattern all that much. There are *some* places in SCI1.1 that do that (with the Memory kernel). And problem some places that create new objects (like an Event) and dispose of them immediately.
Anyway, rant over. I do admit the multi-level break could be useful at times. And it might make things easier to understand, not harder (it's just that you *do* need to be cognizant of all the code you're skipping).