@kiwichild,
I can see why this might be confusing, Koji. I hope this helps:
1. You're right. 'Last' is preferred here.
2. These two sentences really don't mean the same thing. Generally speaking, "He will continue until he finishes" is correct, simple and straightforward. The other sentence -- "He will last until he finishes" -- clearly implies that the person being described is having some difficulty and can't last long. With that sentence you are indicating confidence that he will "last" at least that long. We don't know; he might die soon afterwards. To say he will "continue" doesn't imply any such thing, merely tells us his time schedule.
3. The problem is similar here. Both sentences tell us that the program ("it") will be over at 5 o'clock. But the first sentence implies that there is some question about whether "it" can take up that whole time period. You are assuring us that it'll last that long.