I don't know if this is something you can change or just the way things are.
you're drawing a path, and you have the black arrow as your [ctrl] modifier, but you want the white arrow, so you switch to it, then switch back to pen and carry on drawing. but the pen wants to start a new path because you've switched tools. or you want to toggle smart guides mid path, same deal. this seems a bit off to me, so i'm wondering if there's something I've set wrong. the pen tool in PS doesn't seem to mind you switching selection tools: as long as the path you were on is unmolested, it picks up from the anchor point it left off.
It's just the way it is. Illustrator's too-many-separate-tools design often prevents the more efficient behaviors that are taken for granted in programs with more elegantly-designed drawing interfaces.
It's a good rule to hit A (selects the white arrow) and then P (selects the Pen tool) every time you plan to draw with the Pen tool.
This makes the Direct Selection tool default when you temporarily switch over to the arrow using the Cmd (mac) / Ctrl (pc) to make minor editing while drawing.