I may be totally confused, but I don't think the CM has states "stop existing" on collapse. It is not in a state until it collapses. And the "you observe" isn't really "you". Essentially, it doesn't have a state until the state is referenced.
Again, I might be wrong, but I think the problem most people have with QM is that they think something must either exist or not exist. From that perspective it's easier to imagine that something exists in all possible states and that we are just observing one of them. However, even logically things can be in an indeterminate state.
For example, if I draw a box and then I draw another one that is twice as tall, the first box is short and the second box is tall. If I draw a third box that is 3 times as tall as the second one, then the first 2 boxes are short and the third one is tall. However, if I never drew the second or third box, then the first box is neither tall nor short. The concept doesn't actually make sense without the other boxes.
Similarly, imagine a universe with a single particle. What is its position? What is its momentum? Obviously these concepts have no meaning. As soon as I add another particle to the universe, then suddenly position and momentum have meaning. Now imagine that space is not a discrete map of particles with positions, but rather a set of particles which each have a probability of interacting with each other. This probability indicates their position.
In such a universe, if a particle does not interact with another particle, then it does not have a position. There is no meaning for position with respect to that particle. As soon as it interacts with another particle, then suddenly position has meaning. It is "created" in the same way that we "created" tall and short by drawing different sized boxes.
That is my, very possibly naive, way of thinking about it. Yes... I've read too much Taoist literature... ;-)