CAGR is a parameter that you determine with your Capital setting and your reinvestment algorithm. It is unrelated to Monte Carlo analysis. It is also not well suited to measure system performance. For this better test without reinvestment.

As to the second question, yes, there is a statistical problem. For continuing the strategy after removing all profits, you'll need more capital than the first time. The capital requirement grows with the square root of time. You can find details in the money management chapter.