I assume you mean terminating the flow inside your loop? You don't need to have a "break" or "continue" in your loop. By default, Mendix interprets that situation as a "continue".
Can you clarify how this behavior caused you a problem?
Arthur if the point you are making is that Mendix is inconsistent on requiring an explicit start and termination for a microflow but not for a flow within a loop then you are completely correct that this seems weird. It's nor a bug though, just an odd design decision.
Default development guideline: always terminate explicitly in a loop. The modeler assumes "continue" but I want the developers to take that decision. And assumptions in microflows have to be documented, so why not explicitly terminate the loop. From that point of view I would not mind in the modeler forces you to add a continue of break event.