Well, the GO in the 'middle' of procedure A ends the batch. Hence leaving a begin without an end and, in the second batch an end without a begin.
GO is a batch breaker. It tells SSMS where to delimit the batches sent to SQL. So what you're telling SSMS is that the first batch it must send is
create procedure aa
as
begin
if exists (select * from sys.objects where name='bb')
begin
drop procedure bb
GO
As I'm sure you can see, that is not valid SQL.
Again, I need to ask why you want a procedure to create a procedure? What's the point?
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability