It's rare that I get to the 20th century, let alone the 21st, but oddly I just finished a game this morning in 2040 winning a diplomatic victory. I don't know why it took so long, maybe because I've never played archipelago, huge before. To answer your question, I usually continue to play after winning only if I want to wipe someone out that was p*$$ing me off. I remember playing more than 20 turns past the win in order to finish off the stupid Egyptians, they kept respawning, GRRRR!
"do or do not, there is no try."