I rang Virgin last night - all appears well. I thought they would struggle to understand what I was saying, but to be fair they knew straight away and said it was normal and nothing to worry about. It is simply because they do not request a middle name, thus when Continental transfer info there is nowhere for it to go other than on end of first name.
One other thing, if you plan on using online check in, I was told to use Virgin's website but ensure you input your name WITH the middle initial on end. Then proceed to the Virgin baggage drop at airport.
This will apply to everyone who has booked with Continental - so nothing to worry about. Majority of people won't have even realised.