No, continuity isn't measured in voltage. You are checking to see if the conductor is intact. You need to DISCONNECT THE CONDUCTOR BEING TESTED FROM THE BATTERY in order to do a continuity check. You'll use the OHMS setting. Ohms are a measure of resistance. Too much resistance is bad.
The value you are looking for depends on the circuit being checked. I don't have the actual numbers for the CUCV, but if it's a power lead, generally you shouldn't see more than a few ohms for such a short distance. Really, it should be pretty close to zero.
If you are measuring volts, you can get an indication of there being SOME continuity, but you could still have significant resistance in the line and not know it. Here's an example:
BATTERY --------------- CORRODED CONNECTOR------------------ TEST POINT
If your wire is not connected to any kind of load
after the TEST POINT, you'll measure full battery voltage there even with that corroded connector in the line, and you won't know you have a problem. "Hey, I got 12 jolts, so I'm good!" You think it's good, but it's not.
Now put a load on that same circuit, and it might look something like this:
BATTERY --------------- CORRODED CONNECTOR------------------ TEST POINT --------- LOAD --------- GROUND
Now in this situation, you will measure something less than battery voltage at the test point. How much? That will depend on the resistance of the load and the resistance of that corroded connection. If they happened to be EQUAL resistance, you'll measure exactly half of battery voltage at the test point. That ain't likely, but it illustrates the point.
You can see what that would do to your glow plugs. They are the load when you try to use them. You measured 12 volts at the GP connector, you think they are getting 12 volts, but they aren't. And you are left scratching your head.
Now back to the first diagram:
BATTERY --------------- CORRODED CONNECTOR------------------ TEST POINT
If you measure this using the ohm scale, you'll see exactly how much resistance you have, and you'll see you have a problem. It OUGHT to be close to zero, but it's not. So, you go looking for that source of resistance. You find it, you clean it up, you double check and life is good.
Measuring using the ohms scale can be messed up if there is voltage present. So, either disconnect at both ends, or disconnect the battery.
Does that help?