I am thinking about implementing a FSM data structure, so this kind of problem couldn't happen.
https://github.com/sasa1977/fsm

Makes sense ? Should I proceed an PR ?

Yes, you've discovered an issue in that area. The Commanded.ProcessManagers.ProcessRouter.continue_process_manager function should ensure that when it starts the process manager it is starting a process that has already been created. The snapshot data for that process must be present.

Feel free to work on a pull request. I use Saša's fsm library in the eventstore. Otherwise I'll add this to the roadmap and get it fixed.

Please, add to the roadmap, I still have to study the code to know how to fix this bug

It's in the backlog of the Development roadmap.

Is this still known to be an issue?

@Trevoke Process managers are comprised of two components: a router and many instances. The router subscribes to the event store and routes events to instances, this might require starting a new process or resuming an existing one. A process manager instance handles the event, returning any relevant commands, then mutates its state. It records a snapshot of the mutated state after each event it processes.

I'm in the process of reworking process managers so that they use linked events as their persistence mechanism (event sourcing), with optional state snapshots so they resemble how aggregates persist their state. That change will resolve this issue.

Fixed by #181.