I think the default behavior for W (bound to RTZ) is to return the cursor to the 0 point of the project (or to the Now Time marker), and to stop there.
That's what it does here (The audio engine doesn't stop for me, the project stops).
When I press the Rewind Button ("Start/Stop Rewind", IE "<<") in the Transport Module, it rewinds half a measure for each press, and the project immediately resumes playing from that time, no dropouts.
So - are you having a drop out, or are you concerned about the fact that the audio is stopping?