It is hard to tell from just the comments so far, but it sounds like you potentially weren't making the best use of state management. I personally never used XNA's built in state manager and built my own to handle it with some extra features but I'm fairly sure proper use of it would get around the issue you mentioned.
However, I would definitely say that DBPro is excellent for prototyping games. I certainly have used it to prototype before building in XNA and more recently to prototype before rebuilding in C++. The ability to add your own DLL plugins to DBPro as well has meant that, once I have built a library of code in DBPro as a prototype, I can then rebuild it with the advantages of speed and OOP available in C++ and turn it into a DLL to use in DBPro giving the best of both worlds.

Previously TEH_CODERER.