So why do they continue?
In general, if you are dissatisfied with how things are going, you may not be so dissatisfied as to protest. But once you start protesting, even if the trigger is removed, it is much easier to continue.
Specific to the Yellow Vest protests, Wikipedia says:
The movement is motivated by rising fuel prices, high cost of living, and claims that a disproportionate burden of the government's tax reforms were falling on the working and middle classes, especially in rural and peri-urban areas. The protesters have called for lower fuel taxes, reintroduction of the solidarity tax on wealth, a minimum wage increase, the implementation of Citizens' initiative referendums and Emmanuel Macron's resignation as President of France and his government.
Rising fuel prices initially sparked the demonstrations,
As you note, the initial increase in fuel taxes has been reversed. But it's not like the already high fuel taxes were eliminated. Fuel taxes in France:
As of 2017, the excise tax on gasoline was €0.651 per liter (regional prices varied from €0.407 to €0.6682). With a VAT rate of 20%, the percent of the total price of gasoline that came from taxes was 63.9% The excise tax on diesel fuel was €0.531 per liter (€0.5307 to €0.5631). With the 20% VAT, 59.3% of the total cost of diesel fuel was taxes.
Looking just at gasoline (petrol) prices, the protests were over a planned .13 increase of something that was already .65. Now that they have started protesting, they want not only to prevent the .13 increase but to reduce the .65. But they want other things as well.
The protests have garnered attention. As a result, the protesters feel empowered and want more results. It now seems possible that they might not only prevent the increase in the fuel taxes but get a decrease, as well as other changes.
The fuel tax was just the straw that broke the camel's back. The actual underlying issue had to do with the ever higher costs of living on a backdrop of decades long of stagnant income.
Context matters somewhat. Macron made a number of blunders early in his presidency. A major one was cutting the wealth tax on capital investments. Usually, a French government wouldn't even entertain improving the wealthy's situation without throwing a meaty bone or two at lower income earners. His critics characterized him as the President of the rich, and that image stuck.
This is important because, for better or worse, everything Macron does gets probed through that lens. Another president, with more legitimacy and a better public image, might have had the political capital to pull it off without a hiccup had it been tied with e.g. a large tax on airplane tickets or some other thing that disproportionately affects the wealthy.
Anyway, fast forward to late 2018, and the government announced a move aimed at reducing France's carbon emissions by increasing taxes on fuel. This lit the powder keg, and the Gilets Jaunes started in short order.
Leaving the violent rioting aside, several important things happened next.
The first is that extreme-right groups fueled the discontentment by spreading conspiracy theories through Gilets Jaunes groups. I don't think this answer would benefit much from mentioning what they were exactly, except to say that many revolved around a cabal of rich people, jews, or elites who wanted to swamp France or Europe with Muslim or African immigrants. This might have peaked with events that preceded the recent coming into force of the Marrakech Pact [FR].
The second is alleged Russian hacker involvement in fueling the latter. The French judiciary is currently looking into this involvement [FR].
The third is, as you note, that the government promised to reverse its policy. It also backtracked [FR] on that promise. (I didn't follow the developments much after that, and I've no idea what the current status on this is.)
The fourth and most important IMHO is the Grand Débat [FR], which has ended since. As an expat, I only got to see the online parts of the would-be debate. And as one living in Hungary, I found it was reminiscent of the consultation Viktor Orbán organized on immigration in Hungary when the 2015 refugee crisis was in full swing. The questions were so biased that the only way to answer them sensibly was to basically agree with and embrace the government policy. The whole enterprise got heavily criticized [FR] as a result.
Predictably, the Gilets Jaunes soldiered on. What is the point, after all, to debate with a government that basically ignores what you'd like to put forward.
"The Revolt of the Public and the Crisis of Authority" by Martin Gurri offers an answer. Gurri sees the Public as nihilistic, meaning that they reject all models of government. They are against everything but for nothing, because being for something means being against something that might be supported by the fellow next to you. Hence there is no end to their protest.