Goto's give a bad code smell, generally. This implementation looks clean, but we'll have to be vigilant in keeping it that way.

If I was writing this, I would encapsulate the error message code in a function and call that here, followed by a continue;
Is there any downside to doing it this way?

We need to run some code after each iteration of the loop. C++ just doesn't provide a good way to do this. D's scope(success) would be great, but we don't have this.