I too thought it would return 'this'.
I've read the documentation about 'sp_' and system stored procedures but I've always misunderstood until now.
The documentation doesn't really make clear what is a system stored procedure.
I always assumed it meant: any stored procedure defined in the master database, including the pre-defined routines that come with SQL Server.
Now I understand that system stored procedure only refers to the pre-defined routines.
So when SQL Server sees a stored procedure name starting with 'sp_':
First it checks to see if it is a pre-defined routine (like sp_who).
Then it checks the current database.
Then it checks the master database.
I think Microsoft needs to rewrite its documentation to make this clearer.