Waaw - happy to see a CI call here. I was so used to having it, and I have been checking with all people I met so far that use Mendix, I am not aware of any CI realisation. Hope that some people will react.
There most likely are reasons for this absense in a Mendix context: unit tests and TDD are not an option inside Mx, so their absense limits CI to GUI web robot automated tests like Selenium, auto-it, AutoHotKey...
I guess that automated builds and packages & deployments, that are also CI practices, are not in scope of your question?
The core question might be if it is worth the investment in most Mendix contexts? Is the risk and potential damage worth the setup and maintenance cost? My best guess is that in most cases, regression is not so likely, easily identifiable in a visible process development, and pretty detectable in a typical close business collaboration.
I can imagine however that there are large projects with critical processes and data that would profit of it,at least partially for the most critical functionalities.