Episode 3 was what I needed to see. Great episode... and even better music. Too bad it looks like that's the end of it though 
Just because the lead guitarist and singer
moved on/got erased/whatever happens when you go away
doesn't mean that the other band members won't be inspired by her and continue the band.
One of the main reasons I think it will continue right now is the way that Jun Maeda talked about it in Angel Beats PV7. He said things that made it sound like music and performance sequences were going to be a central part of the series, so it would be strange if they stopped after only a handful of episodes.
Of course, I'm not sure if the band would be allowed to continue, given the way they basically battled the Teachers and Tenshi... Who knows, though.
Music scenes are great otaku pandering and a great way to sell extra insert song CDs and series Blurays. It would probably be in their own best interests to keep them around.