It's not the only way to play a complete album. You should be able to play anything using either setting. If you're outputting to a TV or other device where you get cover art and track names on the screen, continuous stream necessarily breaks those.
If you're using DLNA as a continuous stream it's going to transcode. On a local network I'd recommend transcoding to WAV so you don't lose any quality (going to lossy) or unnecessarily tax your systems on the encoding and decoding end (going to lossless). If your source files are normal 16/44.1 MP3s just transcode to WAV at the same sample rate as source. Not sure if any of the profiles do this, but you can create one that does.