Nice question, and the explanation has provoked an interesting discussion.

Now there's maybe a problem with the explanation adopted as the result of that discussion: is it anywhere documented that UNION strings associate left to right unless overruled by parantheses, or could the optimiser decide (for whatever reason) to go right to left, or some arbitrary order? I guess this doesn't happen in existing versions (but haven't done extensive testing to verify that, it is purely a guess), but is that part of the T-SQL definition or something that a future quick fix could change? If it could change, then the right answer would presumably be "it depends what the optimiser chooses to do".