What I got out of this question is that it shows there once was a bug in SQL2K, which was corrected with SP updates years ago. I usually walk away with learning something from the questions, but this one feels like a waste of time.
I have access to a SQL2K, SP4 server with Query Analyzer as well as SQL2K5 9.0.3054 with Management Studio 2005. In both instances I get the following:
What you see...
-----------------------
print 1
-- Comment one
print 2
-- Comment two
print 3
-- Comment three
print 4
is not what you get!
-----------------------
1
2
3
4