The connected domination game is played just as the domination game, with an additional requirement that at each stage of the game the vertices played induce a connected subgraph. The number of moves in a D-game (an S-game, resp.) on a graph $G$ when both players play optimally is denoted by $γ_{\rm cg}(G)$ ($γ_{\rm cg}'(G)$, resp.). Connected Game Continuation Principle is established as a substitute for the classical Continuation Principle which does not hold for the connected domination game. Let $G|x$ denote the graph $G$ together with a declaration that the vertex $x$ is already dominated. The first main result asserts that if $G$ is a graph with $γ_{\rm cg}(G) \geq 3$ and $x \in V(G)$, then $γ_{\rm cg}(G|x) \leq 2 γ_{\rm cg}(G) - 3$ and the bound is sharp. The second main theorem states that if $G$ is a graph with $n(G) \geq 2$ and $x \in V(G)$, then $γ_{\rm cg}(G|x) \geq \left \lceil \frac12 γ_{\rm cg}(G) \right \rceil$ and the bound is sharp. Graphs $G$ and their vertices $x$ for which $γ_{\rm cg}'(G|x) = \infty$ holds are also characterized.