IMHO it's used mostly to save time when writing the code. It's like saying INSERT this set of data...and also this, oh wait, here's a few more rows to append to the operation, no, wait, I actually have some more...and handles it in more of a "batch style". As opposed to writing it in more of set-based operation - insert this into that, insert this into that...etc.

Both accomplish the same thing however there are performance impacts associated with both. Test.

For things like "examples" for SSC or for testing your own code, the UNION ALL approach is kind of the "norm"

Not sure this helps much but here's a few links where similar questions have been asked in the past:

http://www.ikriv.com/dev/db/SqlInsert/SqlInsert.html

http://www.sqlservercentral.com/Forums/Topic672861-338-1.aspx