If the current playlist finishes, then there will be nothing to resume when you attempt to restart playback. As you have discovered.
One way to avoid this would be to make sure that the current playlist never actually ends, by using one of the Repeat options. Repeat: All or Repeat: Shuffle for instance. You may also want to combine this with a sleep timer, so that the player automatically stops playback and shuts down after a user-specified period of time.
This way, unless you blow away the dynamic playlist manually, you should always have something to resume when you attempt to. It is possible to disable that annoying warning about erasing the dynamic playlist if you find it annoying (a lot of people do) as well, consult your players manual (the fifth link down on your left, for your convenience) for descriptions of the settings described here and many more.
[Saint]
Edit: Please note that I do realise that this isn't /exactly/ what you were asking for, but it is close, and it is currently possible and available to the user right now.
