Remembering that a CTE is just another way to code sub-queries, your update with CTE is the same as this:

UPDATE #tReceive

SET PoReceiveHeaderGuid = hdr.PoReceiveHeaderGuid

FROM #tReceive tr

INNER JOIN

(

SELECT NEWID() PoReceiveHeaderGuid

, rd.JobNumberID

, rd.PONUMBER

, rd.DELIVNOTE

, rd.DATE

from

(

SELECT DISTINCT tr.JobNumberID

, tr.PONUMBER

, tr.DELIVNOTE

, tr.DATE

FROM #tReceive tr

WHERE tr.PoReceiveHeaderGuid IS NULL

) rd

) hdr

ON tr.JobNumberID = hdr.JobNumberID

AND hdr.PONUMBER = tr.PONUMBER

AND hdr.DELIVNOTE = tr.DELIVNOTE

AND hdr.DATE = tr.DATE

Both the above and your original CTE-based update should generate the same actual execution plan, since SQL just takes the CTE (since it is non-recursive) and unwinds it to a series of nested sub-queries.

I get unique, new GUIDs every time (whether with your query or mine) which is what I would expect.