a possible explanation for the behavior of continue in included scripts mentioned by greg and dedlfix above may be the following line of the "return" documentation: "If the current script file was include()ed or require()ed, then control is passed back to the calling file."
The example of greg produces an error since page2.php does not contain any loop-operations.
So the only way to give the control back to the loop-operation in page1.php would be a return.