Monads don't compose, in the sense that if you two monads of different types you can't always mash them together to create a single monad that encompasses both of the effect the two monads represent. This is not surprising as (side-)effects don't in general compose so there is no reason that monads should.

Now I disagree with Ron's assertion that continuations compose better than monads. Here's why:

All monads can be expressed in terms of the continuation monad. As the name suggests this is just a monadic encoding of continuations. (See https://www.schoolofhaskell.com/school/to-infinity-and-beyon...).

If your language has continuations built-in then all programs are effectively running in some "ambient" monad that can express all other monads. Just like if you have exceptions you're effectively running within an error-handling monad.

So essentially rather than writing `F A` (or `F[A]` or `F<A>` or whatever syntax your language supports) to represent effectful programs all programs are implicitly running within such an effect type.