That is the only logical choice.
Say I'm flying FPV in an overhead obstructed environment - inside a parking garage, inside an old building, under trees, etc. If I lost transmitter signal, I might want it to just land where it is as opposed to climbing up and trying to RTL, taking my chances that a blind landing would be better than hitting an obstruction at a higher altitude.
I'll agree that in most cases, you'd want RTL, but it'd be nice if it was explicitly stated so there's no confusion - Continue with mission in Auto, otherwise RTL.