Not really. The real players out there will simply roll from one to the next, which means they will sell (buy) the one and buy (sell) the next. So the contract's price doesn't change from one to the next. In general, the roll can bring in some extra volatility, but remember...The thing tracks the index. It will do what the index does. And stocks do not expire.
Thanks for explaining. I am intending to move to the underlying futures at some point, but for the kind of experimental trading I do here CFDs suffice (even if they're indeed expensive).