1) For a Concentration (Lasting), Sustained (Lasting), or Continuous (Lasting) power with a staged effect, does the power work (unless you mention otherwise, I’ll assume the answer here is the same in core and Ultimate Power):
A) Every round that the power is maintained the target has to save against the effect again (no attack roll necessary) and if his save result gives a worse result than what has occurred so far, the effect gets worse accordingly (but a success doesn’t help anything, since this is just a save against another use of the power, not a “breakout” save).
B) The target saves when the power is initially used. Then merely maintaining the power in a subsequent round doesn’t force the target to make any additional saves; you have to take the power's normal action (and make the usual attack roll if the power requires one) to use the Lasting power again on the target. If the save fails by a greater “stage” than before increase the existing Lasting effect accordingly (with some of the answers above being relevant here).
C) Something else?
2) The last sentence of the Pain power in UP (pg 177) states, “A save that fails by a greater margin than before increases the power’s effect, as described previously”
What is this referring to? I think this may be a reference to the “accumulating levels of failure” clause from the Nauseate power, but if so, as Pain is based on Stun, this is erroneous.