In VETERAN mode, the game has limited continues from checkpoints in a, but infinite retries from the beginning of a level.
I played through levels 1-5 with Erik in 2-PLAYER VETERAN mode. It's very cool, but it's not an easy game, and the level 6 boss was too much for us. We will come back to this.
Erik and I played a couple of hours of STAGE 06, reaching the boss twice, but never getting very far. No progress. We're learning the enemies, and which route to take, and we keep getting extra lives for the last checkpoint.